<SEC-DOCUMENT>0000891092-14-008211.txt : 20141103
<SEC-HEADER>0000891092-14-008211.hdr.sgml : 20141103
<ACCEPTANCE-DATETIME>20141103115935
ACCESSION NUMBER:		0000891092-14-008211
CONFORMED SUBMISSION TYPE:	N-CSR
PUBLIC DOCUMENT COUNT:		15
CONFORMED PERIOD OF REPORT:	20140831
FILED AS OF DATE:		20141103
DATE AS OF CHANGE:		20141103
EFFECTIVENESS DATE:		20141103

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-CSR
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-05542
		FILM NUMBER:		141188470

	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:	BLACKROCK INCOME TRUST INC
		DATE OF NAME CHANGE:	19930309

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	BLACKSTONE INCOME TRUST INC
		DATE OF NAME CHANGE:	19920703
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-CSR
<SEQUENCE>1
<FILENAME>e61142ncsr.htm
<DESCRIPTION>ANNUAL REPORT
<TEXT>
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<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 78pt; text-indent: -78pt"><FONT STYLE="vertical-align: baseline"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0; text-align: center"><FONT STYLE="font-weight: normal; vertical-align: baseline">UNITED
STATES</FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0; text-align: center"><FONT STYLE="font-weight: normal; vertical-align: baseline">SECURITIES
AND EXCHANGE COMMISSION </FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0; text-align: center"><FONT STYLE="font-weight: normal; vertical-align: baseline">Washington,
D.C. 20549</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; text-align: center; margin-bottom: 0">&nbsp;</P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0; text-align: center"><B>FORM N-CSR</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0; text-align: center"><B>&nbsp;</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0; text-align: center"><B>CERTIFIED SHAREHOLDER REPORT
OF REGISTERED MANAGEMENT <BR>
INVESTMENT COMPANIES</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-align: center; text-indent: -0.5in">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">Investment Company Act file number
811-05542</P>

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

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

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

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

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

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

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

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

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">Date of fiscal year end: 08/31/2014</P>

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">Date of reporting period: 08/31/2014</P>

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

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


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<P ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="RIGHT">AUGUST 31, 2014</FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif">
<TR STYLE="font-family: Arial, Helvetica, Sans-Serif">
<TD STYLE="text-align: left; width: 60%; background-color: Gray; font-family: Arial, Helvetica, Sans-Serif; padding-left: 20pt"><FONT STYLE="font: 14pt
Arial, Helvetica, Sans-Serif"><FONT STYLE="color: White">ANNUAL REPORT </FONT></FONT></TD>
<TD STYLE="text-align: left; width: 3%; font-family: Arial, Helvetica, Sans-Serif"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; vertical-align: bottom; font-family: Arial, Helvetica, Sans-Serif"><IMG SRC="blackrock_ko.jpg" alt=""></TD></TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="margin-left: 18px; text-align: left; font-weight: bold"><B>BlackRock Core Bond Trust
(BHK)</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="margin-left: 18px; text-align: left; font-weight: bold"><B>BlackRock Corporate High Yield Fund,
Inc. (HYT)</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="margin-left: 18px; text-align: left; font-weight: bold"><B>BlackRock Income Opportunity Trust,
Inc. (BNA)</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="margin-left: 18px; text-align: left; font-weight: bold"><B>BlackRock Income Trust, Inc.
(BKT)</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B></B></FONT></DIV></P>
<DIV STYLE="BORDER: SOLID WINDOWTEXT 1PX; PADDING: 4px; WIDTH: 50%">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="50%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="TOP">
     <TD ALIGN="CENTER" WIDTH="50%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B><B>Not FDIC Insured&nbsp;&#149;&nbsp;May Lose Value&nbsp;&#149;&nbsp;No Bank Guarantee</B></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
</TR></TABLE>
</DIV>
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Contents</FONT></P>
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<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B></B></FONT></DIV></P>

<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR STYLE="vertical-align: bottom; background-color: rgb(240,240,240)">
     <TD STYLE="text-align: left; color: gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">&nbsp;</DIV></FONT></TD>
     <TD STYLE="text-align: left; color: gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt">&nbsp;</TD>
     <TD STYLE="text-align: left; color: gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt">&nbsp;</TD>
     <TD STYLE="text-align: left; color: gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt">&nbsp;</TD>
     <TD STYLE="text-align: left; color: gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; color: gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt"><FONT STYLE="font: 9pt Arial, Helvetica, sans-serif"><B>Page</B></FONT></TD>
     <TD STYLE="text-align: left; color: gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Shareholder Letter </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Annual Report:<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Trust Summaries</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">The Benefits and Risks of Leveraging </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Derivative Financial Instruments</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Financial Statements:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Schedules of Investments </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Statements of Assets and Liabilities </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">63</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Statements of Operations </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">65</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Statements of Changes in Net Assets </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">66</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Statements of Cash Flows </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">68</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Financial Highlights </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">70</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Notes to Financial Statements </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">74</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Report of Independent Registered Public Accounting Firm</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">94</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Important Tax Information</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">95</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Disclosure of Investment Advisory Agreements </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">96</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Automatic Dividend Reinvestment Plans</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">100</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
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     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Officers and Trustees </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">101</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Additional Information</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">104</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TABLE>
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<TD STYLE="text-align: left; width: 33%">2</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray><A NAME="a_001"></A>Shareholder Letter</FONT><FONT color=gray STYLE="font-size:
10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR>                                    <TR STYLE="vertical-align: bottom">
<TD STYLE="text-align: left; font-size: 14pt"><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD NOWRAP STYLE="text-align: right; font: 10pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD></TR>
</TABLE></DIV>
<DIV STYLE="margin-right: 2%; width: 58%; float: left;">

<P STYLE="text-align: left; margin-top: 0pt; margin-bottom: 4pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Dear Shareholder,</FONT></P>
<P STYLE="text-align: left; margin-top: 0pt; margin-bottom: 4pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">The latter part of 2013 was a strong period for most
risk assets such as equities and high yield bonds, despite the mixed tone of economic and financial news and uncertainty as to when and by how much the
U.S. Federal Reserve would begin to gradually reduce (or &#147;taper&#148;) its asset purchase programs. Stock markets rallied in September when the
Fed defied investors&#146; expectations with its decision to delay tapering. The momentum was disrupted temporarily, however, when the U.S. debt
ceiling debate led to a partial government shutdown, roiling financial markets globally until a compromise was struck in mid-October. The remainder of
2013 was generally positive for developed market stocks, while fixed income and emerging market investments struggled as Fed tapering became
increasingly imminent. When the central bank ultimately announced its tapering plans in mid-December, equity investors reacted positively, as this
action signaled the Fed&#146;s perception of real improvement in the economy.</font></P>
<P STYLE="text-align: left; margin-top: 0pt; margin-bottom: 4pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Most asset classes moved higher in 2014 despite the
pull back in Fed stimulus. The year got off to a rocky start, however, as a number of developing economies showed signs of stress while facing the
onset of diminishing global liquidity. These risks, combined with disappointing U.S. economic data, caused equities to decline in January while bond
markets found renewed strength from investors seeking relatively safer assets. Although these headwinds persisted, equities were back on the rise in
February as investors were relieved by a one-year extension of the U.S. debt ceiling and market-friendly comments from the Fed&#146;s new Chairwoman,
Janet Yellen. While it was clear that U.S. economic data had softened, investors were assuaged by increasing evidence that the trend was temporary and
weather-related, and continued to take on risk with the expectation that growth would pick up later in the year.</FONT></P>
<P STYLE="text-align: left; margin-top: 0pt; margin-bottom: 4pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">In the months that followed, interest rates trended
lower and bond prices climbed higher in the modest growth environment. Financial markets exhibited a remarkably low level of volatility despite rising
geopolitical risks and mixed global economic news. Tensions in Russia and Ukraine and signs of decelerating growth in China caused some turbulence, but
markets were resilient as investors focused on signs of improvement in the U.S. recovery, stronger corporate earnings and increased
merger-and-acquisition activity. Importantly, investors were comforted by reassurance from the Fed that no changes to short-term interest rates were on
the horizon.</FONT></P>
<P STYLE="text-align: left; margin-top: 0pt; margin-bottom: 4pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">In the ongoing low-rate environment, investors
looked to equities as a source of yield, pushing major indices to record levels. As stock prices continued to move higher, investors soon became wary
of stretched valuations and a new theme emerged. Stocks that had experienced significant price appreciation in 2013, particularly growth and momentum
names, broadly declined as investors fled to stocks with cheaper valuations. This rotation resulted in the strongest performers of 2013 struggling most
in 2014, and vice versa. Especially hard hit were U.S. small cap and European stocks, where earnings growth had not kept pace with recent market gains.
In contrast, emerging market stocks benefited from the trend after having suffered heavy selling pressure earlier in the year.</FONT></P>
<P STYLE="text-align: left; margin-top: 0pt; margin-bottom: 4pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">However, asset prices tend to be more vulnerable to
bad news when investors believe valuations are high. Consequently, markets came under pressure in July as geopolitical turmoil intensified in Gaza,
Iraq and Ukraine and financial troubles boiled over in Argentina and Portugal. Investors regained confidence in August and, although volatility ticked
up, markets rebounded as low rates and an improving U.S. economy trumped full valuations and lingering geopolitical risks. Concurrently, a slowdown in
Europe&#146;s recovery fueled hopes for further monetary accommodation from the European Central Bank, driving global equities higher. Additionally,
lower yields on European sovereign bonds made U.S. Treasuries more appealing by comparison, contributing to the persistence of low rates in the United
States.</FONT></P>
<P STYLE="text-align: left; margin-top: 0pt; margin-bottom: 4pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Despite a host of challenges, most asset classes
generated solid returns for the six- and 12-month periods ended August 31, 2014, with equities generally outperforming fixed income. Emerging market
equities delivered impressive gains. Developed markets also performed well, although the expensive U.S. small cap stocks lagged in 2014. Most fixed
income assets produced positive results even as the Fed reduced its open-market purchases. Tax-exempt municipal bonds benefited from a favorable
supply-and-demand environment. Short-term interest rates remained near zero, keeping yields on money market securities close to historic
lows.</FONT></P>
<P STYLE="text-align: left; margin-top: 0pt; margin-bottom: 4pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">At BlackRock, we believe investors need to think
globally, extend their scope across a broad array of asset classes and be prepared to move freely as market conditions change over time. We encourage
you to talk with your financial advisor and visit <B>blackrock.com</B> for further insight about investing in today&#146;s world.</FONT></P>
<P STYLE="text-align: left; margin-top: 0pt; margin-bottom: 4pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Sincerely,</FONT></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;&nbsp;
<IMG SRC="robkapito_sig.jpg">
<BR></FONT></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV ALIGN="LEFT"><B>Rob Kapito</B><BR> President, BlackRock Advisors,
LLC</FONT></DIV></P>
<BR></DIV><DIV STYLE="margin-left: 2%; width: 38%; float: right;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><BR>
<DIV ALIGN="LEFT"><IMG SRC="robkapito_photo.jpg">
<BR>&nbsp;</DIV></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><I>Asset prices pushed higher over the period despite modest
global growth, geopolitical risks and a shift toward tighter U.S. monetary policy.</I></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Rob Kapito<BR> </B>President, BlackRock Advisors,
LLC</FONT></DIV></P>
<P ALIGN="LEFT"><DIV STYLE="TEXT-INDENT: 0px; TOP-MARGIN: 6px; TEXT-ALIGN: LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV
ALIGN="LEFT"><B><HR SIZE="4" NOSHADE COLOR="gray">Total Returns as of August 31, 2014</B></FONT></DIV></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR STYLE="background-color: Black">
     <TD NOWRAP STYLE="width: 100%; text-align: center"></TD>
     <TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;</FONT></TD>
     <TD STYLE="border-left: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White"><B>6-month</B></FONT></TD>
     <TD STYLE="text-align: center; border-right: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White"><B>12-month</B></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left; width: 100%; border-bottom: Black 1pt solid"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">U.S. large cap equities (S&amp;P 500<SUP>&#174;</SUP> Index)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">8.84</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">%&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid; border-right: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">25.25</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">%&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left; width: 100%; border-bottom: Black 1pt solid"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">U.S. small cap equities (Russell 2000<SUP>&#174;</SUP> Index)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(0.06</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">)&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid; border-right: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">17.68</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left; width: 100%; border-bottom: Black 1pt solid"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">International equities (MSCI Europe, Australasia, Far East Index)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">1.24</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid; border-right: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">16.44</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left; width: 100%; border-bottom: Black 1pt solid"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Emerging market equities (MSCI Emerging Markets Index)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">14.52</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid; border-right: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">19.98</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left; width: 100%; border-bottom: Black 1pt solid"><DIV STYLE="margin-left: 0px; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">3-month
                                         Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">0.02</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid; border-right: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">0.05</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left; width: 100%; border-bottom: Black 1pt solid"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">4.35</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid; border-right: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">7.07</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left; width: 100%; border-bottom: Black 1pt solid"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">U.S. investment grade bonds (Barclays U.S. Aggregate Bond Index)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">2.74</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid; border-right: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">5.66</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left; width: 100%; border-bottom: Black 1pt solid"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Tax-exempt municipal bonds (S&amp;P Municipal Bond Index)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">4.21</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid; border-right: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">10.55</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left; width: 100%; border-bottom: Black 1pt solid"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer
                                         Capped Index)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">2.89</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid; border-right: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">10.57</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;&nbsp;</FONT></TD>
</TABLE>

<P ALIGN="LEFT"><DIV STYLE="TEXT-INDENT: 0px; TOP-MARGIN: 4px; TEXT-ALIGN: LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
ALIGN="LEFT">Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly
in an index.<BR> <HR SIZE="2" NOSHADE COLOR="#000000"></FONT></DIV></DIV></P>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
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<TD STYLE="text-align: center; width: 34%; border-top: Black 1pt solid">THIS&nbsp;PAGE&nbsp;NOT&nbsp;PART&nbsp;OF&nbsp;YOUR&nbsp;FUND&nbsp;REPORT</TD>
<TD STYLE="text-align: right; width: 33%; border-top: Black 1pt solid">3</TD></TR></TABLE>


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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
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<TD width="36%"></TD></TR>
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray><A NAME="a_002"></A>Trust Summary</FONT><FONT color=gray STYLE="font-size:
10pt">&nbsp;as of August 31, 2014</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Core Bond
Trust<BR></FONT></B></TD></TR></TABLE></DIV>
<P STYLE="text-align: left; color: gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Trust Overview</FONT></B></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>BlackRock Core Bond Trust&#146;s (BHK) (the
&#147;Trust&#148;)</B> investment objective is to provide current income and capital appreciation. The Trust seeks to achieve its investment objective
by investing at least 75% of its assets in bonds that are investment grade quality at the time of investment. The Trust&#146;s investments will include
a broad range of bonds, including corporate bonds, US government and agency securities and mortgage-related securities. The Trust may invest directly
in such securities or synthetically through the use of derivatives.</FONT></DIV></P>

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">On June 6, 2014, the Boards of the Trust, BlackRock Income
Opportunity Trust, Inc. (&#147;BNA&#148;) and BlackRock Income Trust, Inc. (&#147;BKT&#148;) approved the reorganizations of BKT and BNA with and into
the Trust, with the Trust continuing as the surviving fund after the reorganizations. At a special meeting of shareholders on September 30, 2014, the
shareholders of the Trust and BNA approved the reorganization of BNA with and into the Trust, which is expected to be completed in late 2014. The
reorganization of BKT with and into the Trust was not approved by BKT shareholders. Consequently, the reorganization of BKT with and into the Trust
will not be completed.</FONT></DIV></P>

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 18px" ALIGN="LEFT">No assurance can be given
that the Trust&#146;s investment objective will be achieved.</FONT></DIV></P>
<P STYLE="text-align: left; color: gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Portfolio Management Commentary</FONT></B></P>
<DIV STYLE="margin-right: 2%; width: 48%; float: left;">

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><FONT STYLE="font-size: 10pt"><B>How did
                                         the Trust perform?</B></FONT></DIV></P>
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<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT STYLE="font-size: 10pt">&#149;&nbsp;</FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">For the 12-month period ended August 31, 2014, the Trust returned
     16.78% based on market price and 16.09% based on NAV. For the same period, the closed-end Lipper Corporate BBB-Rated Debt
     Funds (Leveraged) category posted an average return of 13.73% based on market price and 11.63% based on NAV. All returns
     reflect reinvestment of dividends. The Trust&#146;s discount to NAV, which narrowed during the period, accounts for the difference
     between performance based on price and performance based on NAV. The following discussion relates to performance based on
     NAV.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><DIV ALIGN="LEFT"><FONT STYLE="font-size: 10pt"><B>What factors influenced performance?</B></FONT></DIV></P>
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<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT STYLE="font-size: 10pt">&#149;&nbsp;</FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">In a generally positive environment for fixed income markets,
     spread sectors, including investment grade credit and securitized debt, performed well given strong market fundamentals as
     well as net negative supply, particularly in corporate credit securities. The largest contributors to the Trust&#146;s performance
     were positions in corporate credit, specifically high yield, as well as capital securities and investment grade industrials.
     The Trust also benefited from exposure to US Treasuries and commercial mortgage-backed securities (&#147;CMBS&#148;), non-US
     dollar positions, sovereign-related debt and agency mortgage-backed securities (&#147;MBS&#148;) 30-year pass-throughs.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT STYLE="font-size: 10pt">&#149;&nbsp;</FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">Based on the view that short-term rates would remain low, the
     Trust maintained a high level of leverage to augment income generation throughout the period.</FONT></TD>
</TR>
</TABLE>
<BR></DIV><DIV STYLE="margin-left: 2%; width: 48%; float: right;"><P ALIGN="JUSTIFY"><DIV ALIGN="JUSTIFY"></DIV></P>
<P ALIGN="LEFT"><DIV ALIGN="LEFT"><FONT STYLE="font-size: 10pt"><B>Describe recent portfolio activity.</B></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT STYLE="font-size: 10pt">&#149;&nbsp;</FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">The Trust&#146;s allocations remained consistent throughout the
     12-month period, with its largest position in investment grade corporate credit, followed by allocations to high yield corporate
     credit and securitized credits, including CMBS and asset-backed securities (&#147;ABS&#148;).</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><DIV ALIGN="LEFT"><FONT STYLE="font-size: 10pt"><B>Describe portfolio positioning at period end.</B></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT STYLE="font-size: 10pt">&#149;&nbsp;</FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">At period end, the Trust maintained diversified exposure to non-government
     spread sectors including investment grade credit, high yield credit, CMBS, ABS and non-agency residential MBS. The Trust
     also held exposure to government-related sectors including US Treasury securities, agency debt and agency MBS. The Trust
     ended the period with a long duration profile.</FONT></TD>
</TR>
</TABLE>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>


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<TR VALIGN="TOP">
     <TD WIDTH="9px" ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px"
>&nbsp;</DIV></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">The views expressed reflect the opinions of
BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not
intended to be a forecast of future events and are no guarantee of future results.</FONT></TD>
</TR>
</TABLE>
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<TD STYLE="text-align: left; width: 33%">4</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV align=left>
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<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>&nbsp;</FONT><FONT color=gray STYLE="font-size: 10pt"></FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Core Bond
Trust<BR></FONT></B></TD></TR></TABLE></DIV>
<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Trust Information</FONT></B></P>

<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="95%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Symbol on New York Stock Exchange (&#147;NYSE&#148;) </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BHK</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="95%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Initial Offering Date</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">November 27, 2001</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="95%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Current Distribution Rate on Closing Market Price as of August 31, 2014 ($13.64)<SUP>1</SUP> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">6.64%</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="95%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Current Monthly Distribution per Common Share<SUP>2</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">$0.0755</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="95%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Current Annualized Distribution per Common Share<SUP>2</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">$0.9060</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="95%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Economic Leverage as of August 31, 2014<SUP>3</SUP></DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" style='border-bottom: solid windowtext 1pt' nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">29%</DIV></FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>1</SUP></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Current distribution rate on closing market price is
calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income,
net realized gains and/or a tax return of capital. Past performance does not guarantee future results.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>2</SUP></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">The distribution rate is not constant and is subject
to change.</FONT></TD>
</TR>
</TABLE>
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<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>3</SUP></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Represents reverse repurchase agreements outstanding
as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of
liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The
Benefits and Risks of Leveraging on page 12.</FONT></TD>
</TR>
</TABLE>
<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Market Price and Net Asset Value Per Share Summary</FONT></B></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV STYLE="MARGIN-LEFT: 6px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/14</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/13</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Change</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>High</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Low</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Market Price </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13.64</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.50</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9.12</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">14.00</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.27</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Net Asset Value</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15.24</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">14.05</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8.47</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15.24</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13.82</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TABLE>
<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Market Price and Net Asset Value History For the Past Five Years</FONT></B></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">
<DIV ALIGN="CENTER"><IMG SRC="e60344bhk.jpg" STYLE="width: 700">
</DIV>
</FONT></DIV></P>

<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Overview of the Trust&#146;s Long-Term Investments</FONT></B></P>
<DIV STYLE="margin-right: 2%; width: 48%; float: left;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>

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     <TD NOWRAP STYLE="width: 100%; text-align: left; padding-top: 2pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Portfolio Composition<BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/14</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/13</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Corporate Bonds</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">56</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">58</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Non-Agency Mortgage-Backed Securities </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">U.S. Treasury Obligations </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">U.S. Government Sponsored Agency Securities </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Preferred Securities</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Asset-Backed Securities</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Municipal Bonds</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Foreign Agency Obligations </DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TABLE>
<BR></DIV><DIV STYLE="margin-left: 2%; width: 48%; float: right;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Credit Quality
Allocation<SUP>4</SUP><BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/14</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/13</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">AAA/Aaa<SUP>5</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">24</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">14</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">AA/Aa</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">A</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">18</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">21</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BBB/Baa</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">28</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">23</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BB/Ba</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">B</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">CCC/Caa</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">N/R</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>4</SUP></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">For financial reporting purposes, credit quality
ratings shown above reflect the highest rating assigned by either Standard &amp; Poor&#146;s (&#147;S&amp;P&#148;) or Moody&#146;s Investors Service
(&#147;Moody&#146;s&#148;) if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are
widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower.
Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality
ratings are subject to change.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>5</SUP></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">The investment advisor evaluates the credit quality
of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of
sectors and individual investments. Using this approach, the investment advisor has deemed U.S. Government Sponsored Agency Securities and U.S.
Treasury Obligations as AAA/Aaa.</FONT></TD>
</TR>
<TR STYLE="vertical-align: top">
        <TD STYLE="text-align: right">&nbsp;</TD>
        <TD>&nbsp;</TD>
        <TD>&nbsp;</TD></TR>
</TABLE>
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<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">5<BR></TD></TR></TABLE></DIV>
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Trust Summary</FONT><FONT color=gray STYLE="font-size:
10pt">&nbsp;as of August 31, 2014</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Corporate High
Yield Fund, Inc.<BR></FONT></B></TD></TR></TABLE></DIV>
<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Trust Overview</FONT></B></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>BlackRock Corporate High Yield Fund, Inc.&#146;s (HYT) (the
&#147;Trust&#148;)</B> primary investment objective is to provide shareholders with current income. The Trust&#146;s secondary investment objective is
to provide shareholders with capital appreciation. The Trust seeks to achieve its objectives by investing, under normal market conditions, at least 80%
of its assets in domestic and foreign high yield securities, including high yield bonds (commonly referred to as &#147;junk&#148; bonds), corporate
loans, convertible debt securities and preferred securities which are below investment grade quality. The Trust may invest directly in such securities
or synthetically through the use of derivatives.</FONT></DIV></P>

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 18px" ALIGN="LEFT">No assurance can be given
that the Trust&#146;s investment objectives will be achieved.</FONT></DIV></P>
<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Portfolio Management Commentary</FONT></B></P>
<DIV STYLE="margin-right: 2%; width: 48%; float: left;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><FONT STYLE="font-size: 10pt"><B>How did
                                         the Trust perform?</B></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT STYLE="font-size: 10pt">&#149;&nbsp;</FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">For the 12-month period ended August 31, 2014, the Trust returned
     15.58% based on market price and 16.21% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged)
     category posted an average return of 15.47% based on market price and 14.60% based on NAV. All returns reflect reinvestment
     of dividends. The Trust&#146;s discount to NAV, which widened during the period, accounts for the difference between performance
     based on price and performance based on NAV. The following discussion relates to performance based on NAV.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><DIV ALIGN="LEFT"><FONT STYLE="font-size: 10pt"><B>What factors influenced performance?</B></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT STYLE="font-size: 10pt">&#149;&nbsp;</FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">The Trust benefited from its allocation to the equity of select
     high yield companies, which we prefer to higher beta CCC-rated bonds in this environment. In particular, equity positions
     in General Motors Co., Ally Financial, Inc., The Goodyear Tire &amp; Rubber Co., American International Group, Inc. and American
     Capital Ltd. were notable contributors. Also adding to performance was issuer selection within high yield bonds and bank
     loans, with strong returns from Caesars Entertainment Resort Properties, LLC, TXU Corp., HD Supply, Inc. and Amaya Gaming.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT STYLE="font-size: 10pt">&#149;&nbsp;</FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">The Trust&#146;s limited exposure to bonds in the BB-rated quality
     range was a disadvantage as these bonds outperformed B-rated bonds, in which the Trust held a large allocation. The Trust&#146;s
     exposure to bank loans detracted from results as the asset class underperformed high yield bonds during the period.</FONT></TD>
</TR>
</TABLE>
<BR></DIV><DIV STYLE="margin-left: 2%; width: 48%; float: right;"><P ALIGN="JUSTIFY"><DIV ALIGN="JUSTIFY"></DIV></P>
<P ALIGN="LEFT"><DIV ALIGN="LEFT"><FONT STYLE="font-size: 10pt"><B>Describe recent portfolio activity.</B></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT STYLE="font-size: 10pt">&#149;&nbsp;</FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">After five years of a favorable high yield market, pricing differentials
     between sectors have compressed. In this environment, the Trust&#146;s investment decisions were focused on bottom-up security
     selection over top-down sector allocation, The Trust held a broader than normal portfolio, allocated across roughly 500 issuers
     (versus the typical 250 to 300), although 25 names represented about one-third of portfolio exposure. The Trust maintained
     a low exposure to BB-rated bonds given their low coupons and greater sensitivity to rising interest rates, while maintaining
     non-benchmark exposure to bank loans and the equity of select high yield companies.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><DIV ALIGN="LEFT"><FONT STYLE="font-size: 10pt"><B>Describe portfolio positioning at period end.</B></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT STYLE="font-size: 10pt">&#149;&nbsp;</FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">At period end, the Trust held 75% of its total portfolio in corporate
     bonds, 12% in floating rate loan interests (bank loans) and 8% in common stocks, with the remainder invested in preferred
     stocks and other interests.</FONT></TD>
</TR>
</TABLE>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>

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     <TD WIDTH="9px" ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px"
>&nbsp;</DIV></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">The views expressed reflect the opinions of
BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not
intended to be a forecast of future events and are no guarantee of future results.</FONT></TD>
</TR>
</TABLE>
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<TD STYLE="text-align: left; width: 33%">6</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
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50%">&nbsp;</TD></TR></TABLE></DIV>
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<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>&nbsp;</FONT><FONT color=gray STYLE="font-size: 10pt"></FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Corporate High
Yield Fund, Inc.<BR></FONT></B></TD></TR></TABLE></DIV>
<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Trust Information</FONT></B></P>

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<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Symbol on NYSE</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">HYT</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Initial Offering Date</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">May 30, 2003</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Current Distribution Rate on Closing Market Price as of August 31, 2014 ($12.07)<SUP>1</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7.51%</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Current Monthly Distribution per Common Share<SUP>2</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">$0.0755</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Current Annualized Distribution per Common Share<SUP>2</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">$0.9060</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Economic Leverage as of August 31, 2014<SUP>3</SUP></DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" style='border-bottom: solid windowtext 1pt' nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">30%</DIV></FONT></TD>
</TABLE>
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<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>1</SUP></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Current distribution rate on closing market price is
calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income,
net realized gains and/or a tax return of capital. Past performance does not guarantee future results.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>2</SUP></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">The distribution rate is not constant and is subject
to change.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>3</SUP></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Represents bank borrowings as a percentage of total
managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than
borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of
Leveraging on page 12.</FONT></TD>
</TR>
</TABLE>
<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Market Price and Net Asset Value Per Share Summary</FONT></B></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV STYLE="MARGIN-LEFT: 6px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/14</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/13</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Change</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>High</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Low</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Market Price </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.07</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.37</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.16</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.65</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.34</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Net Asset Value</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13.47</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.62</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.74</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13.55</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.62</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TABLE>
<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Market Price and Net Asset Value History For the Past Five Years</FONT></B></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">
<DIV ALIGN="CENTER"><IMG SRC="e60344hyt.jpg" STYLE="width: 700">
</DIV>
</FONT></DIV></P>

<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Overview of the Trust&#146;s Long-Term Investments</FONT></B></P>
<DIV STYLE="margin-right: 2%; width: 48%; float: left;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: left; padding-top: 2pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Portfolio Composition<BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/14</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/13</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Corporate Bonds</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">75</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">76</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Floating Rate Loan Interests</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">14</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Common Stocks</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Preferred Securities</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Asset-Backed Securities </DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TABLE>
<BR></DIV><DIV STYLE="margin-left: 2%; width: 48%; float: right;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Credit Quality
Allocation<SUP>4</SUP><BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/14</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/13<SUP>5</SUP></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">AA/Aa</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><SUP>6</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">A</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><SUP>6</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><SUP>6</SUP>&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BBB/Baa</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BB/Ba</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">33</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">28</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">B</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">38</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">46</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">CCC/Caa</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">N/R</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>4</SUP></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">For financial reporting purposes, credit quality
ratings shown above reflect the highest rating assigned by either S&amp;P or Moody&#146;s if ratings differ. These rating agencies are independent,
nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below
investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do
not necessarily indicate low credit quality. Credit quality ratings are subject to change.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>5</SUP></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Information has been revised to conform to current
year presentation.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>6</SUP></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Representing less than 0.5% of the Trust&#146;s
long-term investments.</FONT></TD>
</TR>
<TR STYLE="vertical-align: top">
        <TD STYLE="text-align: right">&nbsp;</TD>
        <TD>&nbsp;</TD>
        <TD>&nbsp;</TD></TR>
</TABLE>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
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<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">7<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
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<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Trust Summary</FONT><FONT color=gray STYLE="font-size:
10pt">&nbsp;as of August 31, 2014</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income
Opportunity Trust, Inc.<BR></FONT></B></TD></TR></TABLE></DIV>
<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Trust Overview</FONT></B></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>BlackRock Income Opportunity Trust, Inc.&#146;s (BNA) (the
&#147;Trust&#148;)</B> investment objective is to provide current income and capital appreciation. The Trust seeks to achieve its investment objective
by investing at least 75% of its assets in bonds that are investment grade quality at the time of investment. The Trust&#146;s investments will include
a broad range of bonds, including corporate bonds, US government and agency securities and mortgage-related securities. The Trust may invest directly
in such securities or synthetically through the use of derivatives.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">On June 6, 2014, the Boards of the Trust, BlackRock Core Bond
Trust (&#147;BHK&#148;) and BlackRock Income Trust, Inc. (&#147;BKT&#148;) approved the reorganizations of the Trust and BKT with and into BHK, with
BHK continuing as the surviving fund after the reorganizations. At a special meeting of shareholders on September 30, 2014, the shareholders of the
Trust and BHK approved the reorganization of the Trust with and into BHK, which is expected to be completed in late 2014. The reorganization of BKT
with and into BHK was not approved by BKT shareholders. Consequently, the reorganization of BKT with and into BHK will not be
completed.</FONT></DIV></P>

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 18px" ALIGN="LEFT">No assurance can be given
that the Trust&#146;s investment objective will be achieved.</FONT></DIV></P>
<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Portfolio Management Commentary</FONT></B></P>
<DIV STYLE="margin-right: 2%; width: 48%; float: left;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><FONT STYLE="font-size: 10pt"><B>How did
                                         the Trust perform?</B></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT STYLE="font-size: 10pt">&#149;&nbsp;</FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">For the 12-month period ended August 31, 2014, the Trust returned
     17.73% based on market price and 16.46% based on NAV. For the same period, the closed-end Lipper Corporate BBB-Rated Debt
     Funds (Leveraged) category posted an average return of 13.73% based on market price and 11.63% based on NAV. All returns
     reflect reinvestment of dividends. The Trust&#146;s discount to NAV, which narrowed during the period, accounts for the difference
     between performance based on price and performance based on NAV. The following discussion relates to performance based on
     NAV.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><DIV ALIGN="LEFT"><FONT STYLE="font-size: 10pt"><B>What factors influenced performance?</B></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT STYLE="font-size: 10pt">&#149;&nbsp;</FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">The Trust benefited from the generally positive market environment,
     with positions in investment grade corporate credit and high yield being the largest contributors to returns. The Trust&#146;s
     allocations to U.S. Treasuries and agency mortgage-backed securities (&#147;MBS&#148;) also contributed positively as the
     10-year Treasury rate unexpectedly rallied lower during the period. (Bond prices rise when rates fall.) Exposure to securitized
     assets, including commercial mortgage-backed securities (&#147;CMBS&#148;) and asset-backed securities (&#147;ABS&#148;)
     also had a positive impact on performance.</FONT></TD>
</TR>
</TABLE>
<BR></DIV><DIV STYLE="margin-left: 2%; width: 48%; float: right;"><P ALIGN="JUSTIFY"><DIV ALIGN="JUSTIFY"></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT STYLE="font-size: 10pt">&#149;&nbsp;</FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">As most fixed income sectors performed well during the period,
     the only detractor from the Trust&#146;s performance was the cost of derivatives used to manage the Trust&#146;s duration
     (sensitivity to interest rate movements).<BR></FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><DIV ALIGN="LEFT"><FONT STYLE="font-size: 10pt"><B>Describe recent portfolio activity.</B></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT STYLE="font-size: 10pt">&#149;&nbsp;</FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">The Trust&#146;s allocations remained consistent throughout the
     12-month period, with its largest position in investment grade and high yield corporate credit, followed by allocations to
     securitized credits, specifically, ABS and CMBS.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><DIV ALIGN="LEFT"><FONT STYLE="font-size: 10pt"><B>Describe portfolio positioning at period end.</B></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT STYLE="font-size: 10pt">&#149;&nbsp;</FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">At period end, the Trust maintained diversified exposure to non-government
     spread sectors including investment grade credit, high yield credit, CMBS, ABS and non-agency residential MBS. The Trust
     also held exposure to government-related sectors including U.S. Treasury securities, agency debt and agency MBS. The Trust
     ended the period with a long duration profile.</FONT></TD>
</TR>
</TABLE>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>

<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="9px" ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px"
>&nbsp;</DIV></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">The views expressed reflect the opinions of
BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not
intended to be a forecast of future events and are no guarantee of future results.</FONT></TD>
</TR>
</TABLE>
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<TD STYLE="text-align: left; width: 33%">8</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV align=left>
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<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>&nbsp;</FONT><FONT color=gray STYLE="font-size: 10pt"></FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income
Opportunity Trust, Inc.<BR></FONT></B></TD></TR></TABLE></DIV>
<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Trust Information</FONT></B></P>

<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="95%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Symbol on NYSE</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BNA</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="95%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Initial Offering Date</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">December 20, 1991</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="95%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Current Distribution Rate on Closing Market Price as of August 31, 2014 ($10.59)<SUP>1</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">6.74%</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="95%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Current Monthly Distribution per Common Share<SUP>2</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">$0.0595</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="95%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Current Annualized Distribution per Common Share<SUP>2</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">$0.7140</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="95%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Economic Leverage as of August 31, 2014<SUP>3</SUP></DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" style='border-bottom: solid windowtext 1pt' nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">29%</DIV></FONT></TD>
</TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>1</SUP></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Current distribution rate on closing market price is
calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income,
net realized gains and/or a tax return of capital. Past performance does not guarantee future results.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>2</SUP></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">The distribution rate is not constant and is subject
to change.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>3</SUP></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Represents reverse repurchase agreements outstanding
as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of
liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The
Benefits and Risks of Leveraging on page 12.</FONT></TD>
</TR>
</TABLE>
<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Market Price and Net Asset Value Per Share Summary</FONT></B></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV STYLE="MARGIN-LEFT: 6px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/14</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/13</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Change</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>High</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Low</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Market Price </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10.59</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9.64</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9.85</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10.86</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9.54</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Net Asset Value</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.91</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10.96</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8.67</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.92</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10.79</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TABLE>
<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Market Price and Net Asset Value History For the Past Five Years</FONT></B></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">
<DIV ALIGN="CENTER"><IMG SRC="e60344bna.jpg" STYLE="width: 700">
</DIV>
</FONT></DIV></P>

<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Overview of the Trust&#146;s Long-Term Investments</FONT></B></P>
<DIV STYLE="margin-right: 2%; width: 48%; float: left;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: left; padding-top: 2pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Portfolio Composition<BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/14</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/13</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Corporate Bonds</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">55</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">58</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Non-Agency Mortgage-Backed Securities</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">U.S. Treasury Obligations</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">U.S. Government Sponsored Agency Securities </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Preferred Securities</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Asset-Backed Securities </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Municipal Bonds</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Foreign Agency Obligations </DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TABLE>
<BR></DIV><DIV STYLE="margin-left: 2%; width: 48%; float: right;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Credit Quality
Allocation<SUP>4</SUP><BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/14</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/13</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">AAA/Aaa<SUP>5</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">26</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">24</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">AA/Aa</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">A</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">20</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">21</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BBB/Baa</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">22</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">24</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BB/Ba</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">B</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">CCC/Caa</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">N/R</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>4</SUP></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">For financial reporting purposes, credit quality
ratings shown above reflect the highest rating assigned by either S&amp;P or Moody&#146;s if ratings differ. These rating agencies are independent,
nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below
investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do
not necessarily indicate low credit quality. Credit quality ratings are subject to change.</FONT></TD>
</TR>
</TABLE>
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<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>5</SUP></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">The investment advisor evaluates the credit quality
of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of
sectors and individual investments. Using this approach, the investment advisor has deemed U.S. Government Sponsored Agency Securities and U.S.
Treasury Obligations as AAA/Aaa.</FONT></TD>
</TR>
<TR STYLE="vertical-align: top">
        <TD STYLE="text-align: right">&nbsp;</TD>
        <TD>&nbsp;</TD>
        <TD>&nbsp;</TD></TR>
</TABLE>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
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<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">9<BR></TD></TR></TABLE></DIV>
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50%">&nbsp;</TD></TR></TABLE></DIV>
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<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Trust Summary</FONT><FONT color=gray STYLE="font-size:
10pt">&nbsp;as of August 31, 2014</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income Trust,
Inc.<BR></FONT></B></TD></TR></TABLE></DIV>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Trust Overview</FONT></B></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>BlackRock Income Trust, Inc.&#146;s (BKT) (the
&#147;Trust&#148;)</B> investment objective is to manage a portfolio of high-quality securities to achieve both preservation of capital and high
monthly income. The Trust seeks to achieve its investment objective by investing at least 65% of its assets in mortgage-backed securities. The Trust
invests at least 80% of its assets in securities that are (i) issued or guaranteed by the US government or one of its agencies or instrumentalities or
(ii) rated at the time of investment either AAA by S&amp;P or Aaa by Moody&#146;s. The Trust may invest directly in such securities or synthetically
through the use of derivatives.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">On June 6, 2014, the Boards of the Trust, BlackRock Income
Opportunity Trust, Inc. (&#147;BNA&#148;) and BlackRock Core Bond Trust (&#147;BHK&#148;) approved the reorganizations of the Trust and BNA with and
into BHK, with BHK continuing as the surviving fund after the reorganizations. At a special meeting of shareholders on September 30, 2014, the
reorganization of the Trust with and into BHK was not approved by BKT shareholders. Consequently, the reorganization of BKT with and into BHK will not
be completed.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 18px" ALIGN="LEFT">No assurance can be given
that the Trust&#146;s investment objective will be achieved.</FONT></DIV></P>
<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Portfolio Management Commentary</FONT></B></P>
<DIV STYLE="margin-right: 2%; width: 48%; float: left;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><FONT STYLE="font-size: 10pt"><B>How did
                                         the Trust perform?</B></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT STYLE="font-size: 10pt">&#149;&nbsp;</FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">For the 12-month period ended August 31, 2014, the Trust returned
     7.12% based on market price and 6.05% based on NAV. For the same period, the closed-end Lipper US Mortgage Funds category
     posted an average return of 16.32% based on market price and 13.06% based on NAV. All returns reflect reinvestment of dividends.
     The Trust&#146;s discount to NAV, which narrowed during the period, accounts for the difference between performance based
     on price and performance based on NAV. The following discussion relates to performance based on NAV.<BR></FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><DIV ALIGN="LEFT"><FONT STYLE="font-size: 10pt"><B>What factors influenced performance?</B></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT STYLE="font-size: 10pt">&#149;&nbsp;</FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">Positive contributions to returns came from the Trust&#146;s exposure
     to securitized assets, specifically, agency collateralized mortgage obligations (&#147;CMOs&#148;) and agency mortgage derivatives
     (including interest-only and principal-only securities). The Trust continued to benefit from exposure to Alt-A (riskier than
     prime, but less risky than subprime) and prime non-agency residential mortgage-backed securities (&#147;MBS&#148;), as well
     as commercial mortgage-backed securities (&#147;CMBS&#148;) as spreads tightened through most of the period.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT STYLE="font-size: 10pt">&#149;&nbsp;</FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">The Trust uses interest rate derivatives including futures, options,
     swaps and swaptions, mainly for the purpose of managing duration, convexity (the rate at which duration changes in response
     to interest rate movements) and yield curve positioning. During the period, the Trust held short positions on U.S. Treasuries
     in order to manage the duration profile of the portfolio. These positions were beneficial to the Trust&#146;s performance
     during certain periods of rising interest rates. However, for the period as a whole, the Trust&#146;s derivatives holdings
     had a negative impact on returns.</FONT></TD>
</TR>
</TABLE>
<BR></DIV><DIV STYLE="margin-left: 2%; width: 48%; float: right;"><P ALIGN="JUSTIFY"><DIV ALIGN="JUSTIFY"></DIV></P>
<P ALIGN="LEFT"><DIV ALIGN="LEFT"><FONT STYLE="font-size: 10pt"><B>Describe recent portfolio activity.</B></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT STYLE="font-size: 10pt">&#149;&nbsp;</FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">During the 12-month period, the Trust increased overall exposure
     to agency MBS, while reducing exposure to 30-year pass-through MBS in favor of agency CMO securities exhibiting attractive
     spreads, strong income and low convexity.<BR></FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><DIV ALIGN="LEFT"><FONT STYLE="font-size: 10pt"><B>Describe portfolio positioning at period end.</B></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT STYLE="font-size: 10pt">&#149;&nbsp;</FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">&nbsp;</FONT></TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT STYLE="font-size: 10pt">As of period end, the Trust maintained exposure to high quality
     agency MBS with varying maturities and coupon rates. The Trust continued to favor agency CMOs, while holding low exposure
     to 15- and 30-year agency pass-through issues. The Trust continued to hold modest allocations in asset-backed securities
     (&#147;ABS&#148;), non-agency MBS and CMBS based on improving underlying fundamentals.</FONT></TD>
</TR>
</TABLE>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>

<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="9px" ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px"
>&nbsp;</DIV></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">The views expressed reflect the opinions of
BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not
intended to be a forecast of future events and are no guarantee of future results.</FONT></TD>
</TR>
</TABLE>
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<TR>
<TD STYLE="text-align: left; width: 33%">10</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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50%">&nbsp;</TD></TR></TABLE></DIV>
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<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>&nbsp;</FONT><FONT color=gray STYLE="font-size: 10pt"></FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income Trust,
Inc.<BR></FONT></B></TD></TR></TABLE></DIV>
<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Trust Information</FONT></B></P>

<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Symbol on NYSE</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BKT</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Initial Offering Date</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">July 22, 1988</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Current Distribution Rate on Closing Market Price as of August 31, 2014 ($6.42)<SUP>1</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">6.54%</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Current Monthly Distribution per Common Share<SUP>2</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">$0.035</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Current Annualized Distribution per Common Share<SUP>2</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">$0.420</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Economic Leverage as of August 31, 2014<SUP>3</SUP></DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" style='border-bottom: solid windowtext 1pt' nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">31%</DIV></FONT></TD>
</TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>1</SUP></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Current distribution rate on closing market price is
calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income,
net realized gains and/or a tax return of capital. Past performance does not guarantee future results.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>2</SUP></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"> The distribution rate is not constant and is
subject to change.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>3</SUP></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Represents reverse repurchase agreements outstanding
as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of
liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see the
Benefits and Risks of Leveraging on page 12.</FONT></TD>
</TR>
</TABLE>
<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Market Price and Net Asset Value Per Share Summary</FONT></B></P>

<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/14</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/13</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Change</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>High</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Low</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Market Price </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.42</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.40</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.31</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.72</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.31</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Net Asset Value</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.27</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.32</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.68</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.41</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.21</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TABLE>
<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Market Price and Net Asset Value History For the Past Five Years</FONT></B></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">
<DIV ALIGN="CENTER"><IMG SRC="e60344bkt.jpg" STYLE="width: 700">
</DIV>
</FONT></DIV></P>

<P STYLE="text-align: left; color: Gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Overview of the Trust&#146;s Long-Term Investments</FONT></B></P>
<DIV STYLE="margin-right: 2%; width: 48%; float: left;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: left; padding-top: 2pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Portfolio Composition<BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/14</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/13</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">U.S. Government Sponsored Agency Securities </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">97</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">96</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Non-Agency Mortgage-Backed Securities</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">U.S. Treasury Obligations </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Asset-Backed Securities </DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TABLE>
<BR></DIV><DIV STYLE="margin-left: 2%; width: 48%; float: right;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Credit Quality
Allocation<SUP>4</SUP><BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/14</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>8/31/13</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">AAA/Aaa<SUP>5</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">98</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">100</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">AA</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">NR</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>4</SUP></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">For financial reporting purposes, credit quality
ratings shown above reflect the highest rating assigned by either S&amp;P or Moody&#146;s if ratings differ. These rating agencies are independent,
nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below
investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do
not necessarily indicate low credit quality. Credit quality ratings are subject to change.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><SUP>5</SUP></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">The investment advisor evaluates the credit quality
of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of
sectors and individual investments. Using this approach, the investment advisor has deemed U.S. Government Sponsored Agency Securities and U.S.
Treasury Obligations as AAA/Aaa.</FONT></TD>
</TR>
<TR STYLE="vertical-align: top">
        <TD STYLE="text-align: right">&nbsp;</TD>
        <TD>&nbsp;</TD>
        <TD>&nbsp;</TD></TR>
</TABLE>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
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<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">11<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
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50%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV align=left>
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<TD width="36%"></TD></TR>
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray><A NAME="a_003"></A>The Benefits and Risks of Leveraging</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray>&nbsp;<BR></FONT></B></TD></TR></TABLE></DIV>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<DIV STYLE="margin-right: 2%; width: 48%; float: left;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Trusts may utilize leverage to seek to enhance the yield and
net asset value (&#147;NAV&#148;) of their common shares (&#147;Common Shares&#148;). However, these objectives cannot be achieved in all interest rate
environments.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">In general, the concept of leveraging is based on the premise that
the financing cost of leverage, which will be based on short-term interest rates, will normally be lower than the income earned by a Trust on its
longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Trust (including the assets
obtained from leverage) are invested in higher-yielding portfolio investments, the Trust&#146;s shareholders will benefit from the incremental net
income. The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of
these portfolio holdings is reflected in the per share NAV.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">To illustrate these concepts, assume a Trust&#146;s Common Shares
capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment
in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly
positive slope. In this case, the Trust&#146;s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term
interest rates. At the same time, the securities purchased by the Trust with the proceeds from leverage earn income based on longer-term interest
rates. In this case, the Trust&#146;s costs of leverage are significantly lower than the income earned on the Trust&#146;s longer-term investments
acquired from leverage proceeds, and therefore the holders of Common Shares (&#147;Common Shareholders&#148;) are the beneficiaries of the incremental
net income.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">However, in order to benefit Common Shareholders, the return on
assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the
Trust&#146;s return on assets purchased with leverage proceeds, income to shareholders will be lower than if the Trust had not used leverage.
Furthermore, the value of the Trust&#146;s portfolio investments generally varies inversely with the direction of long-term interest rates, although
other factors can influence the value of portfolio investments. In contrast, the</FONT></DIV></P>
<BR></DIV><DIV STYLE="margin-left: 2%; width: 48%; float: right;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">value of the Trust&#146;s obligations under its leverage
arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trust&#146;s NAVs
positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a
Trust&#146;s intended leveraging strategy will be successful.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Leverage also will generally cause greater changes in the
Trusts&#146; NAVs, market prices and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a
greater decline in the net asset value and market price of a Trust&#146;s Common Shares than if the Trust were not leveraged. In addition, the Trust
may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to
the use of leverage or as required by the terms of leverage instruments, which may cause the Trust to incur losses. The use of leverage may limit the
Trust&#146;s ability to invest in certain types of securities or use certain types of hedging strategies. The Trust will incur expenses in connection
with the use of leverage, all of which are borne by Common Shareholders and may reduce income to the Common Shares.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Each Trust may utilize leverage through a credit facility or
reverse repurchase agreements as described in the Notes to Financial Statements.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Under the Investment Company Act of 1940, as amended (the
&#147;1940 Act&#148;), the Trust is permitted to issue debt up to 33<sup style="font-size: 6pt">1</sup>&#8260;<sub style="font-size: 6pt">3</sub>% of
their total managed assets. A Trust may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In
addition, a Trust may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which
may be more stringent than those imposed by the 1940 Act.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">If a Trust segregates or designates on its books and records cash
or liquid assets having values not less than the value of the Trust&#146;s obligations under the reverse repurchase agreement (including accrued
interest), then such transaction will not be considered a senior security and will not be subject to the foregoing limitations and requirements under
the 1940 Act.</FONT></DIV></P>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></DIV></P>
<P ALIGN="LEFT"><DIV STYLE="TEXT-INDENT: 0px; TOP-MARGIN: 6px; TEXT-ALIGN: LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="3"><DIV STYLE="text-align: left; font-size: 14pt; border-top: gray 4pt solid; color: Gray"><A NAME="a_004"></A>Derivative Financial Instruments</FONT></DIV></DIV></P>
<DIV STYLE="margin-right: 2%; width: 48%; float: left;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Trusts may invest in various derivative financial instruments,
including financial futures contracts, foreign currency exchange contracts, options and swaps, as specified in Note 4 of the Notes to Financial
Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a security, index
and/or market without owning or taking physical custody of securities or to hedge market, equity, credit, interest rate, foreign currency exchange rate
and/or other risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial
instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument.
The</FONT></DIV></P>
<BR></DIV><DIV STYLE="margin-left: 2%; width: 48%; float: right;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Trusts&#146; ability to use a derivative financial instrument
successfully depends on the investment advisor&#146;s ability to predict pertinent market movements accurately, which cannot be assured. The use of
derivative financial instruments may result in losses greater than if they had not been used, may require a Trust to sell or purchase portfolio
investments at inopportune times or for distressed values, may limit the amount of appreciation a Trust can realize on an investment, may result in
lower dividends paid to shareholders and/or may cause a Trust to hold an investment that it might otherwise sell. The Trusts&#146; investments in these
instruments are discussed in detail in the Notes to Financial Statements.</FONT></DIV></P>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>

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<TR>
<TD STYLE="text-align: left; width: 33%">12</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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50%">&nbsp;</TD></TR></TABLE></DIV>



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<DIV align=left>
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<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray><A NAME="a_005"></A>Schedule of Investments</FONT><FONT color=gray STYLE="font-size:
10pt">&nbsp;August 31, 2014</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Core Bond Trust
(BHK)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Asset-Backed
                           Securities</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Asset-Backed
                                         Securities &#151; 6.4%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">AmeriCredit Automobile Receivables Trust, Series 2011-5, Class C, 3.44%, 10/08/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;409,335</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Apidos CDO XI, Series 2012-11A, Class D, 4.48%, 1/17/23 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">599,980</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Atrium CDO Corp., Series 9A, Class D, 3.74%, 2/28/24 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">716,947</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Babson CLO Ltd., Series 2012-1X, Class B, 2.73%, 4/15/22 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">490,101</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Benefit Street Partners CLO III, Ltd., Series 2013-IIIA, Class C, 3.48%, 1/20/26 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">923,836</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Brookside Mill CLO, Ltd., Series 2013-1A, Class C1, 2.93%, 4/17/25 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">487,352</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CarMax Auto Owner Trust, Series 2012-1:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class B, 1.76%, 8/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">210</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">213,025</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class C, 2.20%, 10/16/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">127,555</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class D, 3.09%, 8/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">155</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">158,080</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CenterPoint Energy Transition Bond Co. LLC, Series 2012-1, Class A3, 3.03%, 10/15/25</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,105</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,119,618</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CIFC Funding 2014-IV, Ltd., Series 2014-4A, Class D, 3.64%, 10/17/26 (a)(b)(c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,852,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CIFC Funding Ltd. (a)(b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-1AR, Class B1R, 4.39%, 8/14/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">743,850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-IA, Class B, 3.04%, 4/16/25</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">489,156</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-IA, Class C, 3.83%, 4/16/25</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">477,036</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Countrywide Asset-Backed Certificates, Series 2006-13, Class 3AV2, 0.31%, 1/25/37 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">860</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">809,636</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Dryden 34 Senior Loan Fund, Series 2014-34A, Class C, 3.03%, 10/15/26 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,960,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ford Credit Floorplan Master Owner Trust, Series 2012-2:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class B, 2.32%, 1/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">245</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">249,967</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class C, 2.86%, 1/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">105</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">108,453</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class D, 3.50%, 1/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">209,071</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Galaxy CLO Ltd., Series 2014-18A, Class C1, 3.23%, 10/15/26 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,592,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Galaxy XV CLO Ltd., Series 2013-15A, Class C, 2.83%, 4/15/25 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">485,323</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ING IM CLO Ltd., Series 2012-2A, Class C, 3.68%, 10/15/22 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750,197</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Nelnet Student Loan Trust (b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2006-1, Class A5, 0.34%, 8/23/27</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">525</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">517,032</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2008-3, Class A4, 1.88%, 11/25/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">615</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">645,157</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Octagon Investment Partners XX Ltd., Series 2014-1A (a)(b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class C, 3.04%, 8/12/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">981,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class D, 3.89%, 8/12/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">959,900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">OZLM Funding III, Ltd., Series 2013-3A, Class B, 3.33%, 1/22/25 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">745,725</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">OZLM VII Ltd., Series 2014-7A, Class C, 3.86%, 7/17/26 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">470</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">442,002</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Santander Drive Auto Receivables Trust:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2010-2, Class C, 3.89%, 7/17/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">602</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">604,433</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2010-B, Class C, 3.02%, 10/17/16 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">40</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">39,879</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2011-1, Class D, 4.01%, 2/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">940</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">964,887</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-1, Class B, 2.72%, 5/16/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">96</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">95,898</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-1, Class C, 3.78%, 11/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">325</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">332,363</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>
<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV>
<DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Asset-Backed
                                 Securities</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Asset-Backed
                                         Securities (concluded)</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">SLM Private Credit Student Loan Trust, Series 2004-B, Class A2, 0.43%, 6/15/21 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">109</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;108,189</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">SLM Private Education Loan Trust, Series 2012-A, Class A1, 1.56%, 8/15/25 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">190</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">192,298</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">SLM Student Loan Trust:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2008-5, Class A3, 1.53%, 1/25/18 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">416</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">418,953</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2008-5, Class A4, 1.93%, 7/25/23 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">615</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">642,133</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-A, Class A2, 3.83%, 1/17/45 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">345</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">361,818</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2014-A, Class B, 3.50%, 11/15/44 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">244,638</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Structured Asset Securities Corp., Series 2002-AL1, Class A2, 3.45%, 2/25/32</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,019</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,014,172</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Symphony CLO VII, Ltd., Series 2011-7A, Class E, 3.84%, 7/28/21 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">723,920</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">World Financial Network Credit Card Master Trust, Series 2012-C, Class C, 4.55%, 8/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,180</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,231,459</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">26,238,974</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Interest
                                         Only Asset-Backed Securities &#151; 0.1%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,435</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">176,505</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,974</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">341,984</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">518,489</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="10" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total
Asset-Backed Securities &#151; 6.5%</B></FONT></DIV>

</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">26,757,463</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Corporate
                                         Bonds</B></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Aerospace
                                         &amp; Defense &#151; 0.6%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Huntington Ingalls Industries, Inc., 7.13%, 3/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">230</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">United Technologies Corp. (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.88%, 5/01/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,158,807</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.13%, 7/15/38</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">911,721</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,320,653</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM"> <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Airlines &#151; 2.0%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">American Airlines Pass-Through Trust, Series 2013-2:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class A, 4.95%, 7/15/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,223</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,395,331</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class B, 5.60%, 1/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">488</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">506,206</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Continental Airlines Pass-Through Trust:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2010-1, Class B, 6.00%, 7/12/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">421</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">448,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-3, Class C, 6.13%, 4/29/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">530,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">United Airlines Pass-Through Trust:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-1, Class A, 4.30%, 2/15/27</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,050,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2014-2, Class B, 4.63%, 3/03/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,375,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">US Airways Pass-Through
                                  Trust, Series 2012-1, Class C, 9.13%, 10/01/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,084</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,143,747</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,448,659</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Auto
                                         Components &#151; 0.8%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Icahn Enterprises LP/Icahn Enterprises Finance Corp.:</FONT></DIV></FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.50%, 3/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">91</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">91,569</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.88%, 3/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,330</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,366,575</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 8/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">953</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,017,327</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.88%, 2/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">911</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">949,718</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,425,189</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">
<P STYLE="text-align: left; color: gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; border-bottom: Black 1pt solid;
background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Portfolio Abbreviations</FONT></B></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 3%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>ABS<BR> ADR<BR> ADS<BR> ARC<BR> AUD<BR> CAD<BR> CLO<BR> </B></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Asset-Backed Security<BR> American Depositary Receipts<BR> American Depositary Shares<BR> Auction Rate Certificates<BR> Australian Dollar<BR>
Canadian Dollar<BR> Collateralized Loan Obligation<BR> </DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; width: 3%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><B>CMO<BR> DIP<BR> EUR<BR> GBP<BR> GO<BR> LIBOR<BR> OIS<BR> </B></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; width: 25%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Collateralized Mortgage Obligation<BR> Debtor-In-Possession<BR> Euro<BR> British Pound<BR> General Obligation Bonds<BR> London
Interbank Offered Rate<BR> Overnight Indexed Swap<BR> </DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; width: 3%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><B>OTC<BR> PIK<BR> Radian<BR> RB<BR> S&amp;P<BR> USD</B></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; width: 25%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Over-the-Counter<BR> Payment-In-Kind<BR> Radian Guaranty, Inc.<BR> Revenue Bonds<BR> Standard and Poor&#146;s<BR> U.S.
Dollar</DIV></FONT></TD>
</TABLE>
<!-- agabop mode="frill" last-style="text" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">13<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 1 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 2 -->
<DIV align=left>
<!-- agabop mode="main" last-style="text" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Core Bond Trust
(BHK)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Automobiles &#151; 1.1%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ford Motor Co., 4.75%, 1/15/43</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,355,037</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">General Motors Co., 6.25%, 10/02/43</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,253</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,469,142</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Jaguar Land Rover Automotive PLC, 4.13%, 12/15/18 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">761,250</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,585,429</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Banks &#151; 4.1%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Barclays Bank PLC, 7.63%, 11/21/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,965,469</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CIT Group, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.50%, 2/15/19 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">398</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">429,343</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.38%, 5/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,650</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,786,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Depfa ACS Bank, 5.13%, 3/16/37 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,775</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,515,768</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">HSBC Bank Brasil SA &#151; Banco Multiplo, 4.00%, 5/11/16 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,442,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">HSBC Bank PLC, 3.10%, 5/24/16 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">728,813</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">HSBC Holdings PLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.25%, 3/14/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,010</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,048,506</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.10%, 1/14/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">305</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">396,442</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Rabobank Nederland:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.88%, 2/08/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,390</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,487,167</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.95%, 11/09/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,542,769</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Wells Fargo &amp; Co., 3.50%, 3/08/22 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,390</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,447,846</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;16,790,248</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Building
                                         Products &#151; 0.1%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Cemex SAB de CV, 5.88%, 3/25/19 (a)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">209,500</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Capital
                                         Markets &#151; 3.6%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CDP Financial, Inc., 5.60%, 11/25/39 (a)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,935</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,782,613</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Goldman Sachs Group, Inc. (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.38%, 3/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,220</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,378,362</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.25%, 7/27/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,165</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,566,778</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 1/24/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,088,945</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Morgan Stanley:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.20%, 11/20/14</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">490</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">493,953</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.00%, 7/24/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">410</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">422,780</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 8/28/17 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,930</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,184,916</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Murray Street Investment Trust I, 4.65%, 3/09/17 (e)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">825</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">887,461</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">14,805,808</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Chemicals &#151; 1.3%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV, 7.38%, 5/01/21
                                         (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">151</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">164,590</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Axiall Corp., 4.88%, 5/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">152</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">152,190</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Dow Chemical Co., 4.13%, 11/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">374,869</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Huntsman International LLC, 4.88%, 11/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">298</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">303,960</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Methanex Corp., 3.25%, 12/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,074</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,127,341</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">161</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">177,503</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Rockwood Specialties Group, Inc., 4.63%, 10/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,872,000</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,172,453</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Commercial
                                         Services &amp; Supplies &#151; 1.0%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ADS Waste Holdings, Inc., 8.25%, 10/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">246</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">261,990</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The ADT Corp., 4.88%, 7/15/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">539</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">458,150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Aviation Capital Group Corp. (a):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.63%, 1/31/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">650</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">680,991</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.13%, 10/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,027,407</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Brand Energy &amp; Infrastructure Services, Inc., 8.50%, 12/01/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">217</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">225,680</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Mobile Mini, Inc., 7.88%, 12/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">320</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">345,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">United Rentals North America, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 7/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">194</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">204,185</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.38%, 5/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">385</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">419,650</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.63%, 4/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">452</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">507,370</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,131,023</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P><!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Communications
                                         Equipment &#151; 1.2%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ADC Telecommunications, Inc., 3.50%, 7/15/15 (f)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,330</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;4,373,300</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">530</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">571,737</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,945,037</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Construction
                                         &amp; Engineering &#151; 0.1%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ABB Finance USA, Inc., 4.38%, 5/08/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">192</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">201,970</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">BlueLine Rental Finance Corp., 7.00%, 2/01/19 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">96</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">101,520</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">210,500</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">513,990</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Construction
                                         Materials &#151; 1.0%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Allegion US Holding Co., Inc., 5.75%, 10/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">446</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;467,185</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">HD
                                         Supply, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.13%, 4/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,815</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,978,350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 7/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,544</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,659,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Lafarge SA, 7.13%, 7/15/36</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">135</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">154,575</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,259,910</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Consumer
                                         Finance &#151; 0.8%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Discover Financial Services, 3.85%, 11/21/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">256,017</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ford Motor Credit Co. LLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.13%, 1/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,265</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,605,981</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.25%, 9/20/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">854,769</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">SLM Corp., 6.25%, 1/25/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">661</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">700,660</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,417,427</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Containers
                                         &amp; Packaging &#151; 0.3%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Crown Americas LLC/Crown Americas Capital<BR> Corp. III, 6.25%, 2/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">91</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">97,143</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sealed Air Corp. (a):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.50%, 12/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">550</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">605,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.38%, 9/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">225</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">253,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">410</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">425,375</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,380,643</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Diversified
                                         Consumer Services &#151; 0.1%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">APX Group, Inc., 6.38%, 12/01/19</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">266</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">269,990</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Diversified
                                         Financial Services &#151; 8.2%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Aircastle Ltd., 6.25%, 12/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">708</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">766,410</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ally Financial, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.50%, 2/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,601,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 12/01/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">160</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">176,200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.00%, 3/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">560</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">680,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.00%, 11/01/31</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">300</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">388,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Bank of America Corp. (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 7/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,260,607</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.30%, 1/11/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,990</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,948,513</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Capital One Financial Corp., 4.75%, 7/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">960</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,065,695</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">FMR LLC, 4.95%, 2/01/33 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,278,895</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">General Electric Capital Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.15%, 8/07/37 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,737,885</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.88%, 1/10/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">135</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">186,937</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">General Motors Financial Co., Inc., 4.25%, 5/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">401</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">409,521</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">IntercontinentalExchange Group, Inc., 4.00%, 10/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">235</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250,047</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Intesa Sanpaolo SpA, 5.02%, 6/26/24 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,145</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,155,713</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,306,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">JPMorgan Chase &amp; Co. (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.70%, 1/20/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,425</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,467,785</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.30%, 4/23/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,347,590</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">JPMorgan Chase Bank NA, 6.00%, 10/01/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">904,972</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Macquarie Bank Ltd., 10.25%, 6/20/57 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,026,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Moody&#146;s Corp., 4.50%, 9/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">958,425</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Northern Trust Corp., 3.95%, 10/30/25</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,185,768</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
<!-- table_boopfix mode="ep" -->
</TR>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">
<!-- agabop mode="ep" last-style="text" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">14</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 2 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 3 -->
<DIV align=left>
<!-- agabop mode="main" last-style="text" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Core Bond Trust
(BHK)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt"><TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Diversified
                                         Financial Services (concluded)</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Reynolds Group Issuer, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.13%, 4/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;207,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.88%, 8/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">560</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">606,200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 10/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,045,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.88%, 2/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">680</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">728,450</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">33,690,388</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Diversified
                                         Telecommunication Services &#151; 3.1%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CenturyLink, Inc., Series V, 5.63%, 4/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">423,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Level 3 Financing, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.13%, 7/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">698</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">755,585</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.63%, 7/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">650</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">719,875</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Telecom Italia Capital SA, 6.00%, 9/30/34</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,550</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,550,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Verizon Communications, Inc. (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.50%, 11/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;518,931</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.40%, 2/15/38</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,483</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,354,474</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.55%, 9/15/43</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,376</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,348,224</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Windstream Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.75%, 10/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">107,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.38%, 8/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">20</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">20,050</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,797,889</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Electric
                                         Utilities &#151; 4.6%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Cleveland Electric Illuminating Co.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.88%, 11/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">121</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">152,411</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.95%, 12/15/36</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">217</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">256,681</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CMS Energy Corp., 5.05%, 3/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">915</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,038,289</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ComEd Financing III, 6.35%, 3/15/33</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">153,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Duke Energy Carolinas LLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.10%, 6/01/37</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">315</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">399,506</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 1/15/38 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">825</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,069,758</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.25%, 12/15/41 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">388,681</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Duke Energy Florida, Inc., 6.40%, 6/15/38</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">430</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">586,855</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">E.ON International Finance BV, 6.65%, 4/30/38 (a)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,525</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,978,501</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Electricite de France SA, 5.60%, 1/27/40 (a)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,644,663</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Florida Power Corp., 6.35%, 9/15/37 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,325</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,801,015</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Jersey Central Power &amp; Light Co., 7.35%, 2/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">245</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">294,263</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ohio Power Co., Series D, 6.60%, 3/01/33</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,975,527</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">PacifiCorp, 6.25%, 10/15/37</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">575</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">765,630</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Public Service Co. of Colorado, Series 17, 6.25%, 9/01/37 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,618,200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Southern California Edison Co.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 2/01/36</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">780,361</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series A, 5.95%, 2/01/38 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,075</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,382,361</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Virginia Electric and Power Co., Series A, 6.00%, 5/15/37 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,575,904</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">18,861,981</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Energy
                                         Equipment &amp; Services &#151; 2.4%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Calfrac Holdings LP, 7.50%, 12/01/20 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">470</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">499,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ensco PLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.25%, 3/15/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">160</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">165,675</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.70%, 3/15/21 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,745</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,899,766</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">EOG Resources, Inc., 2.63%, 3/15/23 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,902</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,850,779</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">71</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">73,307</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">GrafTech International Ltd., 6.38%, 11/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">580</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">600,300</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Noble Holding International Ltd., 5.25%, 3/15/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">369,052</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Peabody Energy Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 11/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,251</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,288,530</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 11/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,239</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,234,354</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Seadrill Ltd., 6.13%, 9/15/17 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,590</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,641,675</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Transocean, Inc., 6.50%, 11/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">395,876</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,018,689</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Food
                                         &amp; Staples Retailing &#151; 0.1%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Rite Aid Corp., 6.75%, 6/15/21</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">279</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">296,089</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>
<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Food Products &#151; 0.5%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Barry Callebaut Services NV, 5.50%, 6/15/23 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">593</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;626,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Kraft Foods Group, Inc., 5.00%, 6/04/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">997</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,084,150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Smithfield Foods, Inc., 5.88%, 8/01/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">169</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">180,830</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,890,980</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Health
                                         Care Equipment &amp; Supplies &#151; 0.4%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Boston Scientific Corp., 6.25%, 11/15/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,251</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,330,170</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Teleflex, Inc., 6.88%, 6/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">385</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">407,137</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,737,307</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Health
                                         Care Providers &amp; Services &#151; 4.1%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">175</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;185,063</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CHS/Community Health Systems, Inc., 5.13%, 8/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">416,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">494</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">681,925</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">HCA Holdings, Inc., 7.75%, 5/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">140</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">152,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">HCA, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.75%, 3/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">130</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">130,975</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.50%, 2/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,198</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,459,012</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.75%, 5/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,161</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,171,159</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Symbion, Inc., 8.00%, 6/15/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">455</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">473,769</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Tenet Healthcare Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 11/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">859</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">936,310</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 10/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">622</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">674,870</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.50%, 4/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">383</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">383,958</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.38%, 10/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,765</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,751,762</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.13%, 4/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,157</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,331,996</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">UnitedHealth Group, Inc., 2.88%, 3/15/22 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,007,922</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">WellPoint, Inc., 4.65%, 1/15/43 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,005</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,127,853</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">16,885,174</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Hotels,
                                         Restaurants &amp; Leisure &#151; 2.6%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">MCE Finance Ltd., 5.00%, 2/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">935</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">930,325</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Six Flags Entertainment Corp., 5.25%, 1/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">865</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">875,812</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Unique Pub Finance Co. PLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series A3, 6.54%, 3/30/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,748</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,054,295</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series A4, 5.66%, 6/30/27</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">623</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,041,957</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series M, 7.40%, 3/28/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,543,706</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series N, 6.46%, 3/30/32</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,195</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,867,672</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Wynn Macau Ltd., 5.25%, 10/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">416</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">423,280</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,737,047</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Household
                                         Durables &#151; 1.0%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Beazer Homes USA, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.63%, 4/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">580</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">613,350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 9/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">166</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">174,300</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Standard Pacific Corp., 10.75%, 9/15/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,446,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">372</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">375,720</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Weyerhaeuser Real Estate Co. (a):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.38%, 6/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">215</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">215,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.88%, 6/15/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">145</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">147,900</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,972,770</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Household
                                         Products &#151; 0.1%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Spectrum Brands, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.38%, 11/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">215,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.63%, 11/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">275</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">297,688</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">512,688</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Independent
                                         Power and Renewable Electricity Producers &#151; 0.4%</B></FONT></DIV>

</FONT> </TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Calpine Corp. (a):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 1/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">137</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">147,617</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.88%, 1/15/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">194</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">207,580</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">NRG REMA LLC, Series C, 9.68%, 7/02/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,037</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,130,330</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,485,527</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Industrial
                                         Conglomerates &#151; 0.0%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Smiths Group PLC, 3.63%, 10/12/22 (a)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">180</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">179,997</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
<!-- table_boopfix mode="ep" -->
</TR>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">
<!-- agabop mode="ep" last-style="text" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">15<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 3 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 4 -->
<DIV align=left>
<!-- agabop mode="main" last-style="text" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Core Bond Trust
(BHK)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt"><TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Insurance &#151; 3.8%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">613</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;652,845</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">American International Group, Inc., 5.45%, 5/18/17 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">886,638</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">AXA SA, 5.25%, 4/16/40 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">371,716</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Five Corners Funding Trust, 4.42%, 11/15/23 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,025</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,093,923</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Hartford Financial Services Group, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 1/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">345</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">396,877</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.13%, 4/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">930</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,062,591</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Liberty Mutual Group, Inc., 6.50%, 5/01/42 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,241,191</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Lincoln National Corp., 6.25%, 2/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">630</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">742,463</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Manulife Financial Corp., 3.40%, 9/17/15 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,630</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,677,860</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">MetLife, Inc., 6.40%, 12/15/36</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,946,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Montpelier Re Holdings Ltd., 4.70%, 10/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">450</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">471,476</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">340</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">362,950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">318,679</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Prudential Financial, Inc. (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.38%, 6/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">307,456</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.38%, 6/21/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">286,330</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.50%, 11/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">450</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">493,949</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.90%, 3/17/36</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">606,992</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.70%, 12/14/36</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">675</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">807,066</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">15,727,252</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Internet
                                         Software &amp; Services &#151; 0.1%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Equinix, Inc., 4.88%, 4/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">86</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">87,720</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">VeriSign, Inc., 4.63%, 5/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">345</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">338,963</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">426,683</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>IT Services &#151; 0.6%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">440</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">502,700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">First Data Corp. (a):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.38%, 6/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">775</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">827,312</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.75%, 11/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,192</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,290,340</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,620,352</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Life
                                         Sciences Tools &amp; Services &#151; 0.1%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Agilent Technologies, Inc., 3.20%, 10/01/22</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">245,713</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Marine &#151; 0.3%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Nakilat, Inc., Series A, 6.07%, 12/31/33 (a)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,050</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,181,250</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Media &#151; 5.6%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">AMC Networks, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.75%, 7/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">320</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">353,200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.75%, 12/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">343</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">347,287</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Cinemark USA, Inc., 5.13%, 12/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">175</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">177,844</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Clear Channel Communications, Inc., 9.00%, 12/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">305</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">315,675</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Clear Channel Worldwide Holdings, Inc., Series B, 6.50%, 11/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,495</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,666,280</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">872,743</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Comcast Corp., 6.45%, 3/15/37 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">790</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,035,153</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Cox Communications, Inc., 8.38%, 3/01/39 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,740</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,529,285</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.38%, 3/01/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">260</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">322,932</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.15%, 3/15/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">753,675</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Gray Television, Inc., 7.50%, 10/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">332</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">350,260</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Inmarsat Finance PLC, 4.88%, 5/15/22 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">501,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Interpublic Group of Cos., Inc., 3.75%, 2/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,013,692</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Live Nation Entertainment, Inc., 7.00%, 9/01/20 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">109</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">117,448</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">292</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">300,030</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">NBCUniversal Media LLC (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.15%, 4/30/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,983</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,269,926</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.38%, 4/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,015</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,121,618</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">News America, Inc., 7.63%, 11/30/28</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">385</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">502,572</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>
<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Media (concluded)</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Omnicom Group, Inc., 3.63%, 5/01/22 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,355</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;2,421,649</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sirius XM Holdings, Inc., 4.25%, 5/15/20 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">559</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">547,820</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">TCI Communications, Inc., 7.88%, 2/15/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">610</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">851,142</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Time Warner, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.70%, 1/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">386,687</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.10%, 7/15/40</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">215</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">258,742</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Unitymedia Hessen GmbH &amp; Co. KG/Unitymedia NRW GmbH, 5.50%, 1/15/23 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">255</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">260,738</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Univision Communications, Inc., 5.13%, 5/15/23 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,153</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;1,207,767</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Virgin Media Secured Finance PLC, 5.38%, 4/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">395</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">410,800</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">22,896,215</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Metals &amp; Mining &#151; 3.7%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Alcoa, Inc., 5.40%, 4/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,450</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,580,965</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ArcelorMittal:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.25%, 8/05/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">173</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">176,676</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.13%, 6/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">384</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">418,080</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Commercial Metals Co., 4.88%, 5/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">534</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">523,320</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Corp. Nacional del Cobre de Chile, 3.00%, 7/17/22 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,565</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,538,340</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Freeport-McMoRan Copper &amp; Gold, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.55%, 3/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">540</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">542,938</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.45%, 3/15/43</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">450</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">486,195</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">New Gold, Inc., 6.25%, 11/15/22 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">440</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">462,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Newcrest Finance Property Ltd., 4.45%, 11/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">475</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">473,097</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Novelis, Inc., 8.75%, 12/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,120</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,557,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Teck Resources, Ltd., 5.38%, 10/01/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,359</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,469,288</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">602</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">650,160</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Xstrata Canada Corp., 6.20%, 6/15/35</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,402,748</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">15,281,557</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Multiline Retail &#151; 0.3%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Dufry Finance SCA, 5.50%, 10/15/20 (a)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,260</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,310,463</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Oil,
                                         Gas &amp; Consumable Fuels &#151; 10.8%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Access Midstream Partners LP/ACMP Finance Corp., 6.13%, 7/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">435,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Anadarko Petroleum Corp., 5.95%, 9/15/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,916</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,103,666</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Antero Resources Finance Corp., 5.38%, 11/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">153</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">157,590</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">159</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">172,515</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Bonanza Creek Energy, Inc., 6.75%, 4/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">99</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">103,950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Burlington Resources Finance Co., 7.40%, 12/01/31</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">875</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,267,708</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Carrizo Oil &amp; Gas, Inc., 7.50%, 9/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">428,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Cenovus Energy, Inc., 6.75%, 11/15/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">996,115</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Chesapeake Energy Corp., 5.75%, 3/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">615</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">686,494</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ConocoPhillips Canada Funding Co., 5.95%, 10/15/36 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">535</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">681,807</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Continental Resources, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 9/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,726,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.50%, 4/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">113</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">122,027</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.13%, 3/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">110</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">113,850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Denbury Resources, Inc., 4.63%, 7/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">623</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">601,195</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">El
                                         Paso LLC, 7.80%, 8/01/31</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">45</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">55,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">El
                                         Paso Natural Gas Co., 8.38%, 6/15/32</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">275</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">376,336</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Energy Transfer Partners LP, 7.50%, 7/01/38</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">655,341</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">455</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">482,300</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Enterprise Products Operating LLC, 6.13%, 10/15/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">872,348</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">KeySpan Gas East Corp., 5.82%, 4/01/41 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">505</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">643,612</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Kinder Morgan Energy Partners LP:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.50%, 9/01/39 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,514,896</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.55%, 9/15/40</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">110</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">129,327</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.38%, 3/01/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">175,240</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
<!-- table_boopfix mode="ep" -->
</TR>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">
<!-- agabop mode="ep" last-style="text" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">16</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 4 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 5 -->
<DIV align=left>
<!-- agabop mode="main" last-style="text" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Core Bond Trust
(BHK)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt"><TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Oil,
                                         Gas &amp; Consumable Fuels (concluded)</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Kinder Morgan, Inc., 5.63%, 11/15/23 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">170</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;187,425</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Kodiak Oil &amp; Gas Corp., 5.50%, 2/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">106</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">111,830</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Linn Energy LLC/Linn Energy Finance Corp., 6.25%, 11/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">237</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">244,703</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Marathon Petroleum Corp., 6.50%, 3/01/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">997</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,254,328</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">MarkWest Energy Partners LP/MarkWest Energy Finance Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 6/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">73</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;78,475</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.50%, 7/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">25</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">25,406</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">212</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">219,950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">MidAmerican Energy Co., 5.80%, 10/15/36</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">896,927</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">MidAmerican Energy Holdings Co. (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.95%, 5/15/37</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">992,971</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.50%, 9/15/37</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,485,691</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Nexen, Inc., 7.50%, 7/30/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,412,478</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Pacific Drilling SA, 5.38%, 6/01/20 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">368</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">358,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">47</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">50,643</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">PDC Energy, Inc., 7.75%, 10/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">260</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">284,700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Pemex Project Funding Master Trust, 6.63%, 6/15/35</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,995</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,458,837</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Petrobras International Finance Co.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.88%, 1/27/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,340</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,377,515</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 1/20/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,725</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,859,464</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Pioneer Natural Resources Co., 3.95%, 7/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">366,893</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Premier Oil PLC, 5.00%, 6/09/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,995,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Range Resources Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 6/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">107</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">114,223</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 8/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">26</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">27,658</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 3/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">62</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">65,875</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Regency Energy Partners LP/Regency Energy Finance Corp., 4.50%, 11/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">249</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250,867</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">RKI Exploration &amp; Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">118</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">126,850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Rosetta Resources, Inc., 5.63%, 5/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">357</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">365,479</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sabine Pass Liquefaction LLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 2/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,787</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,885,285</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 3/15/22 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">398</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">431,830</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 4/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">468</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">486,720</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">SandRidge Energy, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.75%, 1/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">30</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">31,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 2/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">382</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">397,280</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">386</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">424,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ultra Petroleum Corp., 5.75%, 12/15/18 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">357</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">368,602</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Western Gas Partners LP, 5.38%, 6/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">710</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">807,078</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Whiting Petroleum Corp., 5.00%, 3/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">821</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">866,155</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Williams Cos., Inc., Series A, 7.50%, 1/15/31</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,977,077</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">44,790,232</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Paper
                                         &amp; Forest Products &#151; 0.3%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">International Paper Co.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 8/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">75</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">95,630</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.75%, 2/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">420</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">464,268</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 11/15/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">435</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">522,873</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">NewPage Corp., 11.38%, 12/31/14 (h)(i)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">397</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,082,771</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Pharmaceuticals
                                         &#151; 1.0%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Forest Laboratories, Inc. (a):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.38%, 2/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">228</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">245,604</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 12/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">379</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">417,936</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Grifols Worldwide Operations Ltd., 5.25%, 4/01/22 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">205,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">520</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">565,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Salix Pharmaceuticals Ltd., 6.00%, 1/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">162</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">175,770</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>
<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Pharmaceuticals
                                         (concluded)</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Valeant Pharmaceuticals International, Inc. (a):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.75%, 8/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,321</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;1,413,470</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.38%, 10/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">575</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">601,594</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 12/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">376</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">382,110</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,007,484</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Real
                                         Estate Investment Trusts (REITs) &#151; 1.1%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ARC Properties Operating Partnership LP/Clark Acquisition LLC, 4.60%, 2/06/24 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,830</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;1,883,989</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Felcor Lodging LP, 5.63%, 3/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">247</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250,087</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Simon Property Group LP, 4.75%, 3/15/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">835</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">915,342</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">275</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">303,112</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Vornado Realty LP, 5.00%, 1/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,185</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,304,737</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,657,267</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Real
                                         Estate Management &amp; Development &#151; 0.9%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Lennar Corp., 4.75%, 11/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">440</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">433,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Northwest Florida Timber Finance LLC, 4.75%, 3/04/29 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,300</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,409,020</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Realogy Corp., 7.63%, 1/15/20 (a)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">996</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,085,640</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,928,060</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Road &amp; Rail &#151; 0.7%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Burlington Northern Santa Fe LLC, 5.75%, 5/01/40</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,153,820</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Hertz Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.25%, 4/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">236</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">237,180</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.88%, 10/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">230</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">236,613</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.38%, 1/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">620</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">663,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 10/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">385</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">401,362</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,692,375</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Semiconductors &amp; Semiconductor Equipment &#151; 0.1%</B></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (a)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">470</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">493,500</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Software &#151; 0.5%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Nuance Communications, Inc., 5.38%, 8/15/20 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,085</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,090,425</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Oracle Corp., 5.38%, 7/15/40</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">775</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">909,880</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,000,305</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Specialty Retail &#151; 0.6%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Home Depot, Inc., 5.88%, 12/16/36 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">830</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,052,592</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">QVC, Inc. (a):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 10/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">395</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">412,325</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.38%, 10/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">975</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,042,187</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,507,104</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Textiles,
                                         Apparel &amp; Luxury Goods &#151; 0.3%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">PVH Corp., 4.50%, 12/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">490</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">486,325</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Springs Industries, Inc., 6.25%, 6/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">402</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">404,010</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The William Carter Co., 5.25%, 8/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">328</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">342,760</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,233,095</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Tobacco &#151; 1.2%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Altria Group, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.95%, 11/10/38</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">258</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">438,257</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">10.20%, 2/06/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">447</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">773,806</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.38%, 1/31/44</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,015</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,238,032</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Lorillard Tobacco Co., 7.00%, 8/04/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">631,462</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Reynolds American, Inc., 4.75%, 11/01/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,050</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,024,752</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,106,309</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Wireless
                                         Telecommunication Services &#151; 2.2%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">America Movil SAB de CV, 2.38%, 9/08/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">795</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">814,318</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Crown Castle International Corp., 5.25%, 1/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">465</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">480,257</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Crown Castle Towers LLC, 6.11%, 1/15/40 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,560</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,824,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Digicel Group Ltd., 8.25%, 9/30/20 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">460</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">496,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Digicel Ltd., 6.00%, 4/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">772,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Rogers Communications, Inc., 7.50%, 8/15/38 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,583,338</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">SBA Tower Trust, 5.10%, 4/15/42 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">360</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">382,507</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
<!-- table_boopfix mode="ep" -->
</TR>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">
<!-- agabop mode="ep" last-style="text" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">17<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 5 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 6 -->
<DIV align=left>
<!-- agabop mode="main" last-style="text" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Core Bond Trust
(BHK)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt"><TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Wireless Telecommunication Services (concluded)</B></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sprint Communications, Inc. (a):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.00%, 11/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">530</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;630,038</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.00%, 3/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">888</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">990,120</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sprint Corp., 7.88%, 9/15/23 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,041</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,116,472</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,090,750</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="10" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total
Corporate Bonds &#151; 79.8%</B></FONT></DIV>

</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">329,021,222</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Foreign Agency Obligations</B></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Brazilian Government International Bond, 5.00%, 1/27/45</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,862</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;2,933,550</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Cyprus Government International Bond, 4.63%, 2/03/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">605</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">790,965</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Iceland Government International Bond, 5.88%, 5/11/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,775</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,019,959</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Italian Republic, 5.38%, 6/15/33</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">455</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">553,009</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Portugal Government International Bond, 5.13%, 10/15/24 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">646,625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Slovenia Government International Bond, 5.85%, 5/10/23
                                         (a)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">432</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">488,592</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="10" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total
Foreign Agency Obligations &#151; 1.8%</B></FONT></DIV>

</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,432,700</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Municipal Bonds</B></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">City of Detroit Michigan, GO, Taxable Capital Improvement, Limited Tax, Series A-2, 8.00%,
                                         4/01/15 (h)(i)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,525</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">427,153</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">City of New York New York Municipal Water Finance Authority, Refunding RB, 2nd General Resolution:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series EE, 5.50%, 6/15/43</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">465</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">549,756</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series GG, Build America Bonds, 5.72%, 6/15/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">904,106</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Water &amp; Sewer System, Fiscal 2011, Series EE, 5.38%, 6/15/43</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">385</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">450,900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 6/01/40</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,225,795</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 1/15/40</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,275</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,665,953</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Metropolitan Transportation Authority, RB, Build America Bonds, Series C, 7.34%, 11/15/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">952,231</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Municipal Electric Authority of Georgia Plant Vogtle Units 3 &amp; 4, Refunding RB, Build America
                                         Bonds, Series A, 7.06%, 4/01/57</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,156,240</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">New York State Dormitory Authority, RB, Build America Bonds:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 3/15/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">550</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">674,960</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.60%, 3/15/40</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,181,971</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Port Authority of New York &amp; New Jersey, RB, Consolidated, 159th Series, 6.04%, 12/01/29</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">385</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">486,694</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">State of California, GO, Build America Bonds, Various Purpose:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.55%, 4/01/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">140</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">211,474</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.63%, 3/01/40</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">860</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,299,451</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">State of Illinois, GO, Pension, 5.10%, 6/01/33</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">991,670</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">University of California, RB, Build America Bonds, 5.95%,
                                         5/15/45</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">445</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">565,453</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="10" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total
Municipal Bonds &#151; 3.1%</B></FONT></DIV>

</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,743,807</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Non-Agency
     Mortgage-Backed Securities</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 9"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Collateralized
                                         Mortgage Obligations &#151; 1.3%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 3/25/37</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">660</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;556,822</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Countrywide Alternative Loan Trust:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2005-64CB, Class 1A15, 5.50%, 12/25/35</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,037</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">982,209</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2006-OA21, Class A1, 0.35%, 3/20/47 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">675</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">546,760</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA5, Class 2A1, 0.36%, 4/25/46
                                         (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">281</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">234,968</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Credit Suisse Mortgage Capital Certificates, Series 2011-2R, Class 2A1, 2.61%, 7/27/36 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">947</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">959,815</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 5.06%, 6/19/35 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">553</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">557,069</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">GSR Mortgage Loan Trust:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2006-4F, Class 1A1, 5.00%, 5/25/36</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">269</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">261,634</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2007-4F, Class 3A1, 6.00%, 7/25/37</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">442</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">402,073</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Homebanc Mortgage Trust, Series 2006-2, Class A1, 0.34%, 12/25/36 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">455</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">400,434</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">JP
                                         Morgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 8/25/36</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">161</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">143,803</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 2.71%, 5/25/36 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">535</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">439,681</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,485,268</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Commercial Mortgage-Backed Securities &#151; 12.5%</B></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Banc of America Merrill Lynch Commercial Mortgage Trust, Class A4:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2007-1, 5.45%, 1/15/49</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">536,104</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2007-2, 5.78%, 4/10/49 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">818,490</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Bear Stearns Commercial Mortgage Securities, Series 2005-PWR9, Class A4A, 4.87%, 9/11/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">663</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">681,893</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Citigroup Commercial Mortgage Trust (b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2008-C7, Class A4, 6.34%, 12/10/49</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,370</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,518,126</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-GC15, Class B, 5.28%, 9/10/46</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,590</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,980,118</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-GC15, Class XA, 1.46%, 9/10/46</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">13,171</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">925,360</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,093</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,182,145</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Commercial Mortgage Trust:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2006-C7, Class AM, 5.97%, 6/10/46 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,872,043</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-CR11, Class B, 5.33%, 10/10/46 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,495</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,881,061</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-CR11, Class C, 5.34%, 10/10/46 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,260</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,514,371</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-LC6, Class B, 3.74%, 1/10/46</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">695</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">699,949</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-LC6, Class D, 4.43%, 1/10/46 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">835</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">787,811</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Credit Suisse Commercial Mortgage Trust:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2006-C3, Class AM, 6.00%, 6/15/38 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,072,522</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2006-C5, Class AM, 5.34%, 12/15/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,881,647</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2010-RR2, Class 2A, 6.10%, 9/15/39 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">774</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">831,994</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C3, Class AJ, 4.77%, 7/15/37</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">705</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">718,278</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">DBRR Trust, Series 2011-C32, Class A3A, 5.93%, 6/17/49 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">365</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">399,017</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4, 6.01%, 7/10/38 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,128</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,201,678</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">GS
                                         Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,250,235</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
<!-- table_boopfix mode="ep" -->
</TR>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">
<!-- agabop mode="ep" last-style="text" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">18</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 6 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 7 -->
<DIV align=left>
<!-- agabop mode="main" last-style="text" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Core Bond Trust
(BHK)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt"><TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Non-Agency
     Mortgage-Backed Securities</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Commercial Mortgage-Backed Securities (concluded)</B></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Hilton USA Trust, Series 2013- HLT, 4.41%, 11/05/30</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;3,020,517</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class D, 5.25%, 11/15/45 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">794,388</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-LN2, Class A2, 5.12%, 7/15/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">105</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">105,659</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB14, Class AM, 5.62%, 12/12/44
                                         (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">330</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">346,995</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">LB-UBS Commercial Mortgage Trust (b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2004-C8, Class C, 4.93%, 12/15/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,385</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,391,847</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2007-C6, Class A4, 5.86%, 7/15/40</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,898</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,209,629</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2007-C7, Class A3, 5.87%, 9/15/45</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,223,175</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A4, 5.45%, 2/12/44 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,327,020</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">RCMC LLC, Series 2012-CRE1, Class A, 5.62%, 11/15/44 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">663</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">682,854</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Titan Europe PLC, Series 2007-1X, Class A, 0.81%, 1/20/17 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,607</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,535,060</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, 6.14%, 2/15/51 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,185</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,369,737</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">WF-RBS Commercial Mortgage Trust, Series 2012-C8:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class B, 4.31%, 8/15/45</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">695</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">731,110</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class C, 5.04%, 8/15/45 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">895</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">958,596</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">51,449,429</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Interest Only Commercial Mortgage-Backed Securities &#151; 0.8%</B></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, 2.02%, 8/15/45
                                         (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">15,528</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,369,235</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">WF-RBS Commercial Mortgage Trust, Class XA (a)(b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-C8, 2.38%, 8/15/45</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,942</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">650,086</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-C9, 2.39%, 11/15/45</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,526</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,236,526</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,255,847</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Total Non-Agency Mortgage-Backed Securities
     &#151; 14.6%</B></FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">60,190,544</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Preferred Securities</B></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Capital Trusts</B></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Banks &#151; 0.7%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">BNP Paribas SA, 7.20% (a)(b)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,167,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Wachovia Capital Trust III, 5.57% (b)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,025</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,004,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Wells Fargo &amp; Co., Series S, 5.90% (b)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">795</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">832,763</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,004,763</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Capital Markets &#151; 1.4%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Bank of New York Mellon Corp., Series D, 4.50% (b)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,198</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,935,625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Credit Suisse Group AG, 7.50%, (a)(b)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,627,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">State Street Capital Trust IV, 1.23%, 6/01/77 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">70</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">60,462</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,623,587</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Diversified Financial Services &#151; 4.5%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Citigroup, Inc., (b)(g):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series D, 5.35%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,050</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,002,612</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series M, 6.30%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,035,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Credit Agricole SA, 7.88% (a)(b)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,078,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">General Electric Capital Corp., Series<BR>
 B, 6.25% (b)(g)</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,004,625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">JPMorgan Chase &amp; Co. (b)(g):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1, 7.90%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,871,875</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series Q, 5.15%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,460,625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series U, 6.13%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">511,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series V, 5.00%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,974,968</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Preferred
     Securities</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Diversified
                                         Financial Services (concluded)</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Morgan Stanley, Series H, 5.45% (b)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">875</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;890,313</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Societe Generale SA (a)(b)(g):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,860</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,731,300</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.88%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,042,700</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">18,604,018</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Electric Utilities &#151; 0.5%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Electricite de France SA, 5.25% (a)(b)(g)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,100</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,168,250</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Insurance &#151; 3.2%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Allstate Corp. (b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 8/15/53</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,070,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.50%, 5/15/67</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,137,687</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">American International Group, Inc., 8.18%, 5/15/68 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">970</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,336,175</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">AXA SA, 6.46% (a)(b)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,025</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,087,781</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Genworth Holdings, Inc., 6.15%, 11/15/66 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,012,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Liberty Mutual Group, Inc., 7.00%, 3/15/67 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">975</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,035,938</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Lincoln National Corp., 6.05%, 4/20/67 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">675</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">692,719</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Metlife Capital Trust IV, 7.88%, 12/15/67 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">640</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">817,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Swiss Re Capital I LP, 6.85% (a)(b)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,060</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,115,650</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Voya Financial, Inc., 5.65%, 5/15/53 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,289,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">XL
                                         Group PLC, Series E, 6.50% (b)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">815</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">787,494</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">13,382,419</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Total Capital Trusts &#151; 10.3%</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">42,783,037</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Preferred Stocks</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Shares</B></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Banks &#151; 1.2%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">U.S. Bancorp, 6.00% (b)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">150,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,108,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Wells Fargo &amp; Co., 5.85% (b)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">37,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">977,625</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,086,125</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Capital Markets &#151; 0.4%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Goldman Sachs Group, Inc., Series J,<BR> 5.50% (b)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">46,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,126,080</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">SCE Trust III, 5.75% (b)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,657</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">336,423</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,462,503</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Total Preferred Stocks &#151; 1.6%</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,548,628</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Trust Preferred</B></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Banks &#151; 0.1%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Citigroup Capital XIII, 7.88%, 10/30/40 (g)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">14,773</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">399,912</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Total Preferred Securities &#151; 12.0%</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">49,731,577</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>U.S. Government Sponsored Agency Securities</B></FONT></DIV></FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV STYLE="text-align: center"><FONT STYLE="font-size: 8pt"><B>Par</B><BR>
                                         <B>(000)</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Agency Obligations &#151; 2.5%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Fannie Mae (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">0.00%, 10/09/19 (j)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,055</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,244,458</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 7/15/37</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">775</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,057,629</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Federal Home Loan Bank (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.25%, 12/09/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">675</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">813,789</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.37%, 9/09/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,075</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,318,743</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Resolution Funding Corp., 0.00%, 7/15/18&#150;10/15/18 (j)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,050</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">989,331</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,423,950</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">
<!-- agabop mode="ep" last-style="text" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">19<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 7 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 8 -->
<DIV align=left>
<!-- agabop mode="main" last-style="text" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Core Bond Trust
(BHK)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM"><TD STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>U.S.
     Government Sponsored Agency Securities</B></FONT></div></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Collateralized
                                         Mortgage Obligations &#151; 0.1%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Fannie Mae Mortgage-Backed Securities, Series 2005-5,
                                         Class PK, 5.00%, 12/25/34</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">257</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;272,626</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Commercial
                                         Mortgage-Backed Securities &#151; 0.7%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Freddie Mac Mortgage-Backed Securities (b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-K24, Class B, 3.62%, 11/25/45 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,728,745</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series K013, Class A2, 3.97%, 1/25/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">940</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,027,152</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-K706, Class C, 4.16%, 11/25/44 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">165</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">170,352</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,926,249</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Interest Only Collateralized Mortgage Obligations &#151; 1.8%</B></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Fannie Mae Mortgage-Backed Securities:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-96, Class DI, 4.00%, 2/25/27</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,075</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">670,295</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-M9, Class X1, 4.23%, 12/25/17 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,417</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,336,478</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-47, Class NI, 4.50%, 4/25/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,658</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">774,410</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Freddie Mac Mortgage-Backed Securities:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series K707, Class X1, 1.69%, 12/25/18 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,468</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">143,038</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series K710, Class X1, 1.91%, 5/25/19 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,538</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">607,632</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2611, Class QI, 5.50%, 9/15/32</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">828</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">89,875</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ginnie Mae Mortgage-Backed Securities (b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2009-78, Class SD, 6.04%, 9/20/32</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,846</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">933,409</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2009-116, Class KS, 6.32%, 12/16/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,369</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">367,790</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2011-52, Class NS, 6.52%, 4/16/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">13,067</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,397,384</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,320,311</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Mortgage-Backed Securities &#151; 7.3%</B></FONT></DIV>

</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Fannie Mae Mortgage-Backed Securities:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.00%, 9/01/44 (k)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,770,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.00%, 12/01/41&#150;9/01/44 (k)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,930</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,230,179</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.50%, 7/01/41&#150;9/01/44 (k)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,018</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,988,199</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 8/01/34</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,094</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,314,076</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.50%, 6/01/38</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,218</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,363,093</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 12/01/38</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">994</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,122,586</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Freddie Mac Mortgage-Backed Securities, 6.00%, 10/1/14&#150;12/1/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">237</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">246,041</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ginnie Mae Mortgage-Backed Securities, 5.50%, 8/15/33</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">63</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">69,746</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">30,104,170</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="12" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Total U.S. Government Sponsored Agency Securities
     &#151; 12.4%</B></FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">51,047,306</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>U.S.
                                 Treasury Obligations</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">U.S. Treasury Bonds (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.13%, 8/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,550</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;2,171,575</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.13%, 8/15/29</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,135,155</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.50%, 2/15/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">330</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">359,030</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.25%, 5/15/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,045</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,722,037</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.38%, 5/15/40</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,965,760</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.75%, 2/15/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,630</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,158,477</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.38%, 5/15/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,003,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.13%, 11/15/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,930</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,078,950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.13%, 2/15/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,268</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,354,185</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.00%, 5/15/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,730</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,699,287</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.13%, 2/15/43</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,337</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,358,405</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.75%, 11/15/43</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,065</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,205,113</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.63%, 2/15/44</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,194,687</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">U.S. Treasury Notes (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">2.25%, 7/31/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">495</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;511,861</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">1.75%, 5/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">156</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">151,759</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 30px; TEXT-INDENT: -10px"><FONT STYLE="font-size: 8pt">2.50%, 5/15/24</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,450</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,499,403</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total
U.S. Treasury Obligations &#151; 14.2%</B></FONT></DIV>

</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">58,568,934</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV><FONT STYLE="font-size: 8pt"><B>Total Long-Term Investments</B><BR><B> (Cost &#151;
                                         $558,883,581) &#151; 144.4%</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">595,493,553</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Short-Term Securities</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Shares</B></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">BlackRock Liquidity Funds, TempFund, Institutional Class,
                                         0.03% (l)(m)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">742,474</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">742,474</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV><FONT STYLE="font-size: 8pt"><B>Total Short-Term Securities</B><BR><B> (Cost &#151;
                                         $742,474) &#151; 0.2%</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">742,474</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Options Purchased</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>(Cost &#151; $1,408,344) &#151; 0.2%</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">954,199</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="13" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 0px; text-indent: 0px"><FONT STYLE="font-size: 8pt"><B>Total Investments Before Options Written</B><BR><B> (Cost &#151; $561,034,399) &#151; 144.8%</B></FONT></DIV>

</FONT>
</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">597,190,226</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Options Written</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="13" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>(Premiums
Received &#151; $3,343,622) &#151; (0.6)%</B></FONT></DIV>

</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(2,580,908</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total Investments, Net of Options Written &#151; 144.2%</B></FONT></DIV>

 </FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">594,609,318</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Liabilities in Excess of Other Assets &#151; (44.2)%</B></FONT><DIV STYLE="margin-left: 0px; text-indent: 0px"></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(182,530,906</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Net Assets &#151; 100.0%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">412,078,412</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<P STYLE="text-align: left; color: gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; border-bottom: Black 1pt solid;
background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Notes to Schedule of Investments</FONT></B></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 3%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(a)</FONT></TD>
     <TD STYLE="width: 1%; padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="width: 1%; padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="width: 1%; padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 94%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold
in transactions exempt from registration to qualified institutional investors.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(b)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Variable rate security. Rate shown is as of report date.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(c)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">When-issued security. Unsettled when-issued transactions were as follows:</DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<HR SIZE="" NOSHADE ALIGN="LEFT" STYLE="color: Black; margin-top: 6pt; margin-bottom: 0pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" NOWRAP ALIGN="LEFT" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Counterparty</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Unrealized<BR> Appreciation</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Morgan Stanley &amp; Co. LLC</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">1,852,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TR></TABLE>

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(d)</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase
agreements.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(e)</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following
periods. Rate shown is as of report date.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(f)</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Convertible security.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(g)</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Security is perpetual in nature and has no stated maturity date.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(h)</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(i)</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Non-income producing security.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(j)</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Zero-coupon bond.</DIV></FONT></TD>
<!-- table_boopfix mode="ep" -->
</TR>
</TABLE>
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<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">20</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV align=left>
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<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Arial; margin-bottom: 12pt">
<TR>
<TD STYLE="width: 63%"></TD>
<TD STYLE="width: 36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Core Bond Trust
(BHK)<BR>&nbsp;<BR></FONT></B></TD></TR></TABLE></DIV>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt"></TR>
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(k)</FONT></TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD ALIGN="LEFT" WIDTH="98%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Represents or includes a TBA transaction. Unsettled TBA transactions as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: left; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Counterparty<BR></B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT"
></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Value</B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Unrealized<BR> Appreciation</B><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,770,250</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">105,187</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Goldman Sachs &amp; Co.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,114,388</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">15,274</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">J.P. Morgan Securities LLC</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">9,180,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">25,234</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(l)</FONT></TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2014, for purposes of Section 2(a)(3) of the
1940 Act, were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 52.5%; text-align: left; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Affiliate<BR></B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT"
></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Shares<BR> Held at<BR> August 31,
2013</B></B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Net<BR> Activity</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Shares<BR> Held at<BR> August 31,
2014</B></B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Income</B></B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="CENTER"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; width: 52.5%; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BlackRock Liquidity Funds, TempFund, Institutional Class </DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">5,335,491</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(4,593,017</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">742,474</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,865</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(m)</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Represents the current yield as of report date.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Reverse repurchase agreements outstanding as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: left; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Counterparty<BR></B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT"
></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Interest<BR> Rate</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Trade<BR> Date</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Maturity<BR>
Date<SUP>1</SUP></B></B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Face Value</B></B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Face Value<BR> Including<BR>
Accrued<BR> Interest</B></B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Merrill Lynch, Pierce, Fenner &amp; Smith, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.11%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/02/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;875,812</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;877,052</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Merrill Lynch, Pierce, Fenner &amp; Smith, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.11%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/02/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,097,844</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,099,397</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.11%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/03/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">851,537</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">852,697</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Merrill Lynch, Pierce, Fenner &amp; Smith, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.09%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/25/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">8,430,937</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">8,435,371</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.04%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/29/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,039,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,039,318</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.08%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/29/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">377,850</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">378,127</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/24/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,342,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,347,894</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Capital, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.60%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">6/03/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,258,750</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,283,408</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Capital, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">6/24/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,334,398</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,348,467</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.07%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">6/24/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,876,250</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,880,582</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">9/30/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,569,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,580,326</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.36%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">9/30/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,294,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,301,708</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.36%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">9/30/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">871,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">873,927</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.36%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">9/30/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,529,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,534,137</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/22/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,540,900</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,554,718</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/22/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,125,413</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,131,880</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.28%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,373,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,378,299</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.32%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,369,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,373,254</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.32%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,348,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,350,420</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.32%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,289,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,293,110</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.32%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,355,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,357,433</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.32%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,416,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,418,542</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.33%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,073,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,074,987</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,233,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,235,352</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,805,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,812,259</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,410,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,412,690</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,139,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,141,173</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">827,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">828,578</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,853,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,856,535</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.40%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">496,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">497,113</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">RBC
Capital Markets, LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.11%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3/13/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,464,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,464,699</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank Securities, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.07%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/16/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,000,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,000,527</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank Securities, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.11%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/16/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,100,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,102,555</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank Securities, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/21/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,896,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,898,369</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.32%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/13/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,610,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,611,574</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/13/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,172,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,173,218</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/13/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">633,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">633,658</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.40%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/13/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,880,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,884,742</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Capital, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/14/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">534,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">534,571</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Capital, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/14/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">556,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">556,595</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Capital, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/14/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">354,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">354,379</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Capital, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/14/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">272,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">272,280</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Capital, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/14/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">979,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">980,037</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Capital, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/14/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">468,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">468,453</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Capital, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/14/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">294,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">294,303</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Capital, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/14/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">738,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">738,715</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.01%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/20/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,043,750</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,044,971</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.08%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/20/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">697,812</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">697,933</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Merrill Lynch, Pierce, Fenner &amp; Smith, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.05%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">6/11/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,524,588</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,525,631</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TABLE>
<!-- agabop mode="frill" last-style="table" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">21<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 9 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 10 -->
<DIV align=left>
<!-- agabop mode="main" last-style="table" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Core Bond Trust
(BHK)<BR>&nbsp;<BR></FONT></B></TD></TR></TABLE></DIV>
<!-- agabop mode="ep" last-style="table" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Reverse repurchase agreements outstanding as of August 31, 2014 were as follows (concluded):</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: left; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Counterparty<BR></B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT"
></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Interest<BR> Rate</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Trade<BR> Date</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Maturity<BR>
Date<SUP>1</SUP></B></B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Face Value</B></B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Face Value<BR> Including<BR>
Accrued<BR> Interest</B></B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Capital, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">(1.75)%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">6/25/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;1,102,710</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;1,099,065</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Capital, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">6/26/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,981,250</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,983,192</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.08%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/07/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">9,483,150</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">9,488,186</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.08%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/07/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,535,487</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,535,797</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.33%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/07/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,069,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,069,539</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.33%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/07/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,823,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,823,919</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.33%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/07/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,172,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,173,095</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.33%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/07/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">968,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">968,488</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.33%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/07/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">963,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">963,485</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.33%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/07/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,884,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,884,950</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/07/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,300,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,301,195</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/07/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">490,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">490,255</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/07/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,203,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,203,643</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/07/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">834,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">834,446</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/07/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">853,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">853,456</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/07/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,671,156</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,672,050</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/07/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,858,594</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,859,588</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/07/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,510,500</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,511,308</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/07/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,011,500</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,012,576</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/07/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,747,463</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,748,397</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/07/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,373,625</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,375,429</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.06%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/08/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,898,125</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,898,539</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.09%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/08/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,147,537</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,147,710</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.09%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/08/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">516,038</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">516,115</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.09%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/23/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,225,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,225,217</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">(0.03%)</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">8/14/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,497,438</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,497,385</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.14%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">8/12/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">9/11/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,562,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,562,277</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.18%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">8/15/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">9/11/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,089,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,089,093</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Citigroup Global Markets, Inc.</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">0.16%</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">8/18/14</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">9/16/14</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">6,726,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">6,726,418</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total</B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">168,111,414</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">168,300,777</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="3px" ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>1</SUP></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Certain agreements have no stated maturity and can
be terminated by either party at any time.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" WIDTH="98%" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Financial futures contracts outstanding as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Contracts<BR> Purchased<BR> (Sold)</B><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Issue</B></B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Exchange</B></B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Expiration</B></B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="border-top: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B><B>Notional<BR> Value</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></FONT></TD>
    <TD STYLE="border-top: Black 1pt solid">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    <TD STYLE="border-top: Black 1pt solid">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
     <TD NOWRAP COLSPAN="2" STYLE="border-top: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B><B>Unrealized<BR> Appreciation<BR> (Depreciation)</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: right; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">48</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2-Year U.S. Treasury Note</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Board of Trade</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">December 2014</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">10,514,250</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,903</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">31</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Long U.S. Treasury Bond</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Board of Trade</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">December 2014</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,342,906</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">16,008</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">109</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Ultra Long U.S. Treasury Bond</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Board of Trade</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">December 2014</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">16,949,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">130,137</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(129)</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5-Year U.S. Treasury Note</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Board of Trade</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">December 2014</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">15,329,836</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(19,218</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(272)</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">10-Year U.S. Treasury Note</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Chicago Board of Trade</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">December 2014</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">34,212,500</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(99,118</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total</B></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">32,712</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Forward foreign currency exchange contracts outstanding as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"></FONT></P>

<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP COLSPAN="2" STYLE="border-top: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Currency Purchased</B></FONT><BR><HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: #000000"></TD>
    <TD STYLE="border-top: Black 1pt solid">&nbsp;<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: #000000"></TD>
    <TD NOWRAP COLSPAN="2" STYLE="border-top: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Currency Sold</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    <TD STYLE="border-top: Black 1pt solid">&nbsp;<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: #000000"></TD>
    <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Counterparty</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid">&nbsp;<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: #000000"></TD>
    <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Settlement</B></FONT><BR><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B> Date</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid">&nbsp;<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: #000000"></TD>
    <TD NOWRAP COLSPAN="3" STYLE="border-top: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Unrealized</B></FONT><BR><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B> Appreciation </B></FONT><BR> <FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>(Depreciation)</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px; width: 5%"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">220,000</FONT></TD>
    <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px; width: 5%"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">294,650</FONT></TD>
    <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Bank of America N.A.</FONT></TD>
    <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">10/21/14</FONT></TD>
    <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right; width: 5%"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;$</FONT></TD>
    <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(5,496</FONT></TD>
    <TD NOWRAP STYLE="text-align: left; width: 5%"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">)&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">2,474,207</FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">1,829,000</FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">JPMorgan Chase Bank N.A.</FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">10/21/14</FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">70,282</FONT></TD>
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">11,289,315</FONT></TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">6,607,000</FONT></TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Bank of America N.A.</FONT></TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">10/21/14</FONT></TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">324,965</FONT></TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Total</B></FONT></TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: 0px">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; text-indent: 0px">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;$</FONT></TD>
    <TD NOWRAP STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">389,751</FONT></TD>
    <TD STYLE="text-align: left; border-bottom: Black 2px solid">&nbsp;</TD></TR>
</TABLE>
<P STYLE="text-align: left"><FONT STYLE="font: x-small Arial, Helvetica, sans-serif"><DIV ALIGN="LEFT"></FONT></DIV></P>

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">22</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV align=left>
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<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Core Bond Trust
(BHK)<BR>&nbsp;<BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">OTC
interest rate swaptions purchased as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 25%; text-align: left; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Description</B></FONT><FONT STYLE="font-size: 8pt"><BR><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT"
></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Counterparty</B></FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Put/</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Call</B></FONT><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Exercise</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Rate</B></FONT><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Pay/Receive</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Exercise Rate</B></FONT><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; width: 10%; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Floating
     Rate</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Index</B></FONT><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Expiration</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Date</B></FONT><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="border-top: Black 1pt solid; width: 5%; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Notional</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Amount</B></FONT><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
    <TD NOWRAP COLSPAN="3" STYLE="border-top: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Market</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Value</B></FONT><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Credit Suisse International</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Call</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">2.40%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">9/02/14</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,200</FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,654</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">30-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Deutsche Bank AG</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Call</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3.30%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">5/22/17</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,400</FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">374,653</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Credit Suisse International</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3.45%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">9/02/14</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">67,100</FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">1-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Bank of America N.A.</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">0.60%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">10/02/14</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,850</FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">27</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Barclays Bank PLC</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4.55%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4/25/17</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,400</FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">147,464</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">JPMorgan Chase Bank N.A.</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4.60%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4/28/17</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,400</FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">141,661</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">30-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Deutsche Bank AG</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4.30%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">5/22/17</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,400</FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">147,826</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%; border-bottom: windowtext 1pt solid"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">Deutsche Bank AG</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">4.50%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%; border-bottom: windowtext 1pt solid"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">5/22/18</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%; border-bottom: windowtext 1pt solid"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,000</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">140,914</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV STYLE="text-indent: 0px"><FONT STYLE="font-size: 8pt"><B>Total</B><BR></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;954,199</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">OTC
interest rate swaptions written as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 25%; text-align: left; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Description</B></FONT><FONT STYLE="font-size: 8pt"><BR><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT"
></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Counterparty</B></FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Put/</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Call</B></FONT><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Exercise</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Rate</B></FONT><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Pay/Receive</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Exercise Rate</B></FONT><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; width: 10%; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Floating
     Rate</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Index</B></FONT><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Expiration</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Date</B></FONT><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="border-top: Black 1pt solid; width: 5%; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Notional</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Amount</B></FONT><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
    <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
    <TD COLSPAN="3" STYLE="border-top: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Market</B></FONT><FONT STYLE="font-size: 8pt"><BR> <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Value</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Credit Suisse International</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Call</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">2.60%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">9/02/14</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,200</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(104,844</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Barclays Bank PLC</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Call</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3.26%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">11/14/14</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,200</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(387,091</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">JPMorgan Chase Bank N.A.</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Call</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3.25%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">11/14/14</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,200</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(384,337</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Deutsche Bank AG</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Call</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">2.85%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">11/17/14</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,500</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(212,942</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Deutsche Bank AG</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Call</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">2.80%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">2/10/15</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,700</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(67,086</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">JPMorgan Chase Bank N.A.</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Call</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">2.50%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">5/22/15</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,000</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(152,889</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Deutsche Bank AG</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Call</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3.10%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">2/26/16</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,000</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(241,173</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Deutsche Bank AG</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Call</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3.15%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3/17/16</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,000</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(256,324</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Credit Suisse International</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3.10%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">9/02/14</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,200</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Deutsche Bank AG</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">2.80%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">9/15/14</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,700</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(416</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Barclays Bank PLC</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3.26%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">11/14/14</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,200</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(1,983</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">JPMorgan Chase Bank N.A.</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3.25%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">11/14/14</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,200</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(2,039</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Deutsche Bank AG</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3.70%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">11/17/14</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,500</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(256</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Barclays Bank PLC</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3.15%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">11/24/14</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,000</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(4,160</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Deutsche Bank AG</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3.80%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">2/10/15</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,700</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(1,494</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Bank of America N.A.</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3.70%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">2/25/15</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,500</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(1,497</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Barclays Bank PLC</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3.65%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4/15/15</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,100</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(2,520</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Citibank N.A.</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3.65%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4/15/15</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(2,291</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Deutsche Bank AG</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3.65%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4/15/15</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">900</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(2,062</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">JPMorgan Chase Bank N.A.</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3.50%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">5/22/15</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,000</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(56,968</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Deutsche Bank AG</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4.15%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">2/26/16</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,000</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(44,377</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Citibank N.A.</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4.15%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">2/29/16</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,000</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(44,771</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Barclays Bank PLC</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4.05%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4/18/16</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,700</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(17,355</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Deutsche Bank AG</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4.05%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4/18/16</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,600</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(16,335</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Goldman Sachs Bank USA</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4.05%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4/18/16</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,700</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(17,355</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">BNP Paribas S.A.</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4.10%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4/25/16</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,600</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(35,272</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Citibank N.A.</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4.05%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4/25/16</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,000</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(52,239</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Barclays Bank PLC</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4.05%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4/25/17</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,500</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(191,317</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">JPMorgan Chase Bank N.A.</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4.10%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4/28/17</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,500</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(183,667</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%; border-bottom: windowtext 1pt solid"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">Deutsche Bank AG</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">6.00%</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%; border-bottom: windowtext 1pt solid"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">5/22/18</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%; border-bottom: windowtext 1pt solid"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,000</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(95,848</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><DIV><FONT STYLE="font-size: 8pt"><B>Total</B><BR></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; width: 5%"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(2,580,908</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; padding-bottom: 2pt; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Centrally cleared interest rate swaps outstanding as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Fixed<BR>Rate</B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Floating<BR> Rate</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Clearinghouse</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Effective<BR> Date</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Expiration<BR> Date</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP COLSPAN="4" STYLE="border-top: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B><B>Notional<BR> Amount<BR> (000)</B></B></FONT> <FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></FONT></TD>
    <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
    <TD NOWRAP COLSPAN="3" STYLE="border-top: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Unrealized<BR>
Appreciation<BR> (Depreciation)</B></B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>0.56%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">N/A</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">11/30/18</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">20,900</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;(45,712</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>1.69%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/03/14<SUP>2</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">11/30/18</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">10,200</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(35,979</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3.97%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/25/19<SUP>2</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/25/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,900</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(144,799</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.77%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/29/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">400</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(10,851</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.65%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">6/30/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,800</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">72,263</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.62%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/01/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">500</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,132</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.65%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/18/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,600</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(38,543</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.59%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/22/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,300</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">21,390</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.62%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/24/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,100</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">36,045</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.63%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">8/07/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">12,859</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.59%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">8/08/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">9,133</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.59%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">8/08/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">8,815</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.58%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">8/11/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">500</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,151</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TABLE>
<!-- agabop mode="frill" last-style="table" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">23<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 11 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 12 -->
<DIV align=left>
<!-- agabop mode="main" last-style="table" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Core Bond Trust
(BHK)<BR>&nbsp;<BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Centrally cleared interest rate swaps outstanding as of August 31, 2014 were as follows (concluded):</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Fixed<BR>Rate</B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Floating<BR> Rate</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Clearinghouse</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Effective<BR> Date</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Expiration<BR> Date</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="border-top: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Notional<BR> Amount<BR>
(000)</B></B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
    <TD NOWRAP COLSPAN="3" STYLE="border-top: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B><B>Unrealized<BR> Appreciation<BR> (Depreciation)</B></B></FONT> <FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.58%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">N/A</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">8/11/24</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">500</FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; width: 2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,993</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.57%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">8/11/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">500</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,335</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.57%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">8/11/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">500</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,403</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.55%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">8/12/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">500</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,506</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.55%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">8/12/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">500</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,596</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.56%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">8/22/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,200</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">26,140</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.55%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">8/27/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,800</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">22,372</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.49%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">9/02/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">500</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(2,635</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3.19%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/22/15<SUP>2</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/22/25</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,400</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">102,245</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.97%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">6/03/15<SUP>2</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">6/03/25</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,100</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">21,179</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3.65%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/27/44</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,500</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(299,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3.65%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/22/15<SUP>2</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/22/45</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,100</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(110,336</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3.47%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">6/03/15<SUP>2</SUP></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">6/03/45</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">500</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(29,810</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV><B>Total</B></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(359,108</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" NOWRAP STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>1</SUP></FONT></TD>
     <TD style="WIDTH:5pt" ALIGN="LEFT">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Trust pays the fixed rate and receives the floating
rate.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" NOWRAP STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>2</SUP></FONT></TD>
     <TD style="WIDTH:5pt" ALIGN="LEFT">&nbsp;</TD>
     <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Forward swap.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>

<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">OTC
credit default swaps &#151; buy protection outstanding as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: Black; margin-top: 6pt; margin-bottom: 0pt"> <TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 25%; text-align: left; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Issuer</B></B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Pay<BR> Fixed<BR> Rate</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Counterparty</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Expiration<BR> Date</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Notional<BR> Amount<BR>
(000)</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Market<BR> Value</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; width: 2%; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Premiums<BR>
Paid</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Unrealized<BR>
&nbsp;Depreciation&nbsp;</B></B></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Radian Group, Inc.</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5.00%</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Citibank N.A.</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">6/20/15</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">USD</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: right; width: 10%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">1,400</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">$(49,097)</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: right; width: 2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">$13,035</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(62,132</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">The
New York Times Co.</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">1.00%</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Bank PLC</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">12/20/16</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">USD</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: right; width: 10%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">1,800</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">(19,418)</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: right; width: 2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">57,942</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(77,360</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Australia &amp; New Zealand Banking Group Ltd.</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">1.00%</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank AG</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">9/20/17</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">USD</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: right; width: 10%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">1</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">(12)</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: right; width: 2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">9</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(21</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Westpac Banking Corp.</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">1.00%</DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Deutsche Bank AG</DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">9/20/17</DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; width: 10%; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">1</DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">(12)</DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; width: 2%; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">10</DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(22</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: right; width: 10%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">&nbsp;</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">&nbsp;</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: right; width: 2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">&nbsp;</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 25%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total</B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: right; width: 10%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">&nbsp;</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">$(68,539)</DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD STYLE="text-align: right; width: 2%; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">$&nbsp;70,996&nbsp;</DIV></FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(139,535</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TABLE>

<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">OTC
credit default swaps &#151; sold protection outstanding as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: Black; margin-top: 6pt; margin-bottom: 0pt"> <TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Issuer</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Receive</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Fixed</B></FONT><BR><FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>
     Rate</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Counterparty</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Expiration</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Date</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Credit</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Rating<SUP>3</SUP></B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Notional</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Amount</B></FONT><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)<SUP>4</SUP></B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Market</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Value</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Premiums</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Received</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Unrealized</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>&nbsp;Appreciation&nbsp;</B></FONT></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">MetLife, Inc.</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">1.00%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Morgan Stanley Capital Services LLC</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">9/20/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">A-</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">900</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">$14,483</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(30,429</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">44,912</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">MetLife, Inc.</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">1.00%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Deutsche Bank AG</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">9/20/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">A-</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">730</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">11,745</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(25,168</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">36,913</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">MetLife, Inc.</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">1.00%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Morgan Stanley Capital Services LLC</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">9/20/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">A-</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">275</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">4,425</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(8,292</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,717</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">MetLife, Inc.</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">1.00%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Goldman Sachs Bank USA</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">9/20/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">A-</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">500</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">8,044</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(16,778</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">24,822</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">MetLife, Inc.</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">1.00%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Credit Suisse International</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">9/20/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">A-</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">535</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">8,607</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(20,171</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">28,778</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">MetLife, Inc.</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">1.00%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Citibank N.A.</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">12/20/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">A-</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">298</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">5,130</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(9,981</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">15,111</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">MetLife, Inc.</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">1.00%</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">Citibank N.A.</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">12/20/16</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">A-</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">285</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">4,895</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(10,366</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">15,261</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt"><B>Total</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">$&nbsp;57,329</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(121,185</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;178,514</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Using S&amp;P&#146;s rating of the
issuer.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>4</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">The maximum potential amount the Trust may pay
should a negative credit event take place as defined under the terms of the agreement.</FONT></TD>
</TR>
</TABLE>

<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">For
Trust compliance purposes, the Trust&#146;s industry classifications refer to any one or more of the industry sub-classifications used by one or more
widely recognized market indexes or rating group indexes, and/or as defined by investment advisor. These definitions may not apply for purposes of this
report, which may combine such industry sub-classifications for reporting ease.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Fair
Value Measurements &#151; Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to
valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as
follows:</DIV></FONT></TD>
</TABLE>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&#149;</TD>
     <TD STYLE="padding-top: 6pt; text-align: left; padding-left: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Level 1 &#151; unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to
access</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; padding-top: 6pt"></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&#149;</TD>
     <TD COLSPAN="1" STYLE="padding-top: 6pt; text-align: left; padding-left: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Level 2 &#151; other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active,
quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for
the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or
other market-corroborated inputs)</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"></FONT></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&#149;</TD>
     <TD COLSPAN="1" STYLE="padding-top: 6pt; text-align: left; padding-left: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Level 3 &#151; unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available
(including the Trust&#146;s own assumptions used in determining the fair value of investments and derivative financial instruments)</DIV></FONT></TD>
</TABLE>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">The
hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the
lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for
instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases,
for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value
measurement in its entirety.</DIV></FONT></TD>
</TR></TABLE>
<!-- agabop mode="frill" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">24</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 12 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 13 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Core Bond Trust
(BHK)<BR>&nbsp;<BR></FONT></B></TD></TR></TABLE></DIV>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the
Trust&#146;s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the
reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of
the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For
information about the Trust&#146;s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes
to Financial Statements.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">The
following tables summarize the Trust&#146;s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31,
2014:</DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: Black; margin-top: 6pt; margin-bottom: 0pt"> <TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 60%; text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 1</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 2</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 3</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Total</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Assets:<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Investments:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Long-Term Investments:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Asset-Backed Securities </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">20,001,624</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,755,839</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">26,757,463</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Corporate Bonds </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">320,243,902</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">8,777,320</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">329,021,222</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Foreign Agency Obligations </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,432,700</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,432,700</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Municipal Bonds </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">12,743,807</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">12,743,807</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Non-Agency Mortgage-Backed Securities </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">60,190,544</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">60,190,544</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Preferred Securities </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,948,540</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">42,783,037</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">49,731,577</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">U.S. Government Sponsored Agency Securities </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">51,047,306</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">51,047,306</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">U.S. Treasury Obligations </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">58,568,934</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">58,568,934</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Short-Term Securities </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">742,474</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">742,474</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Options Purchased:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Interest Rate Contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">954,199</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">954,199</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Total<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;7,691,014</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;573,966,053</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">15,533,159</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">597,190,226</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>

<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 60%; text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 1</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 2</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 3</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Total</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Derivative Financial Instruments<SUP>1</SUP><BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Assets:<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Credit contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">178,514</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">178,514</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Foreign currency exchange contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">395,247</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">395,247</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Interest rate contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">151,048</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">358,557</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">509,605</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Liabilities:<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Credit contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(139,535</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(139,535</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Foreign currency exchange contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(5,496</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(5,496</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Interest rate contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(118,336</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(3,298,573</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(3,416,909</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Total<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;32,712</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;(2,511,286</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;(2,478,574</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Derivative financial instruments are swaps,
financial futures contracts, forward foreign currency exchange contracts and options written. Swaps, financial futures contracts and forward foreign
currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at
value.</FONT></TD>
</TR>
</TABLE>

<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">The
Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31,
2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: Black; margin-top: 6pt; margin-bottom: 0pt"> <TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 60%; text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 1</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 2</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 3</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Total</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Assets:<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Cash </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">38,897</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">38,897</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Cash pledged for centrally cleared swaps </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">516,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">516,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Cash pledged as collateral for OTC derivatives </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,200,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,200,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Cash pledged for financial futures contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">122,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">122,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Foreign currency at value </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">15,884</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">15,884</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Liabilities:<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Cash received as collateral for reverse repurchase agreements </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(2,378,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(2,378,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Reverse repurchase agreements </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(168,300,777</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(168,300,777</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Total<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;1,892,781</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(170,678,777</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(168,785,996</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="color: White"><B>Total</B><BR></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="color: White">&nbsp;</FONT></TD>
     <TD><FONT STYLE="color: White">&nbsp;</FONT></TD>
     <TD><FONT STYLE="color: White">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;7,691,014</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;</FONT></TD>
     <TD><FONT STYLE="color: White">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;573,966,053</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;</FONT></TD>
     <TD><FONT STYLE="color: White">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">15,533,159</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;</FONT></TD>
     <TD><FONT STYLE="color: White">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">597,190,226</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;</FONT></TD>
</TABLE>

<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">There were no transfers between Level 1 and Level 2 during the year ended August 31, 2014.</DIV></FONT></TD>
<!-- table_boopfix mode="frill" -->
</TR>
</TABLE>
<!-- agabop mode="frill" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">25<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 13 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 14 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (concluded)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Core Bond Trust
(BHK)<BR>&nbsp;<BR></FONT></B></TD></TR></TABLE></DIV>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt"></TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">A
reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the
period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in
determining fair value:</DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: Black; margin-top: 6pt; margin-bottom: 0pt"> <TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 60%; text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Common<BR> Stocks</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Asset-Backed <BR>
Securities</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Corporate<BR> Bonds</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Total</B></B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Assets:<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Opening Balance, as of August 31, 2013 </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">137,600</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">10,951,144</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,284,125</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">17,372,869</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Transfers into Level 3 </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Transfers out of Level 3<SUP>1</SUP> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(5,953,535</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(5,953,535</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Accrued discounts/premiums </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(314,613</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(314,613</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Net
realized gain </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">46,225</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">46,225</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Net
change in unrealized appreciation/depreciation<SUP>2,3</SUP> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(137,600</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">254,774</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">228,086</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">345,260</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Purchases </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,242,847</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,265,109</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">8,507,956</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Sales </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(4,471,003</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(4,471,003</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Closing Balance, as of August 31, 2014<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,755,839</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">8,777,320</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">15,533,159</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Net
change in unrealized appreciation/depreciation on investments still held at August 31, 2014<SUP>3</SUP> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">254,380</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">228,086</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">482,466</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">As of August 31, 2013, the Trust used significant
unobservable inputs in determining the value of certain investments. As of August 31, 2014, the Trust used observable inputs in determining the value
of the same investments. As a result, investments with a beginning of period value of $5,953,535 transferred from Level 3 to Level 2 in the disclosure
hierarchy.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Included in the related net change in unrealized
appreciation/depreciation in the Statements of Operations.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Any difference between Net change in unrealized
appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments held as of August 31, 2014 is generally due to
investments no longer held or categorized as Level 3 at period end.</FONT></TD>
</TR>
</TABLE>

<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">The
Trust&#146;s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are
based on unobservable inputs. A significant change in third party information could results in a significantly lower or higher value of such Level 3
instruments.</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<!-- agabop mode="ep" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">26</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 14 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 15 -->

<!-- Field: Split-Segment; Name: soi1 -->


<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD NOWRAP STYLE="text-align: left; font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Consolidated Schedule of Investments</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;August 31, 2014</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Corporate High
Yield Fund, Inc. (HYT)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Common
     Stocks</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT><FONT STYLE="font-size: 8pt"><BR><FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Shares</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Auto Components &#151; 1.2%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Goodyear Tire &amp; Rubber Co.</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">792,356</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;20,577,485</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Lear Corp.</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,032</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">104,366</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">20,681,851</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Banks &#151; 0.5%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Citigroup, Inc.</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">161,430</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,337,859</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Capital Markets &#151; 2.1%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">American Capital Ltd. (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,875,455</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">29,050,798</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">E*Trade Financial Corp. (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">246,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,478,186</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Uranium Participation Corp. (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">176,860</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">852,337</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">35,381,321</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Chemicals &#151; 0.8%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Advanced Emissions Solutions, Inc. (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">168,580</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,673,358</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Huntsman Corp.</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">373,192</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,035,133</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">LyondellBasell Industries NV, Class A</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">38</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,345</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">13,712,836</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Communications Equipment &#151; 0.4%</B></FONT></DIV>

</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Nokia OYJ &#151; ADR</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">877,870</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,347,772</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Containers &amp; Packaging &#151; 0.0%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Smurfit Kappa Group PLC</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,980</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">293,722</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Diversified Consumer Services &#151; 0.4%</B></FONT></DIV>

</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Cengage Thomson Learning (a)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">211,142</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,686,234</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Diversified Financial Services &#151; 2.4%</B></FONT></DIV>

</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ally Financial, Inc.</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,101,275</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">27,091,365</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ally Financial, Inc. (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">142,289</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,500,309</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Kcad Holdings I Ltd. (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,563,279,160</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,677,197</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">41,268,871</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Diversified Telecommunication Services &#151; 0.3%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Broadview Networks Holdings, Inc. (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">192,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">394,419</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Level 3 Communications, Inc. (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">115,920</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,211,763</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,606,182</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Electrical Equipment &#151; 0.0%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Medis Technologies Ltd. (a)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">365,353</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Energy Equipment &amp; Services &#151; 0.7%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Laricina Energy Ltd. (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">211,764</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,787,433</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Osum Oil Sands Corp. (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">400,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,863,423</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,650,856</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Health Care Providers &amp; Services &#151; 0.0%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">HealthSouth Corp.</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,468</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">57,825</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Insurance &#151; 1.1%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">American International Group, Inc.</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">316,865</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">17,763,452</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Media &#151; 0.0%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Clear Channel Outdoor Holdings, Inc., Class A</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">47,653</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">330,712</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Metals &amp; Mining &#151; 0.1%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">African Minerals Ltd. (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">225,302</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">115,218</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Peninsula Energy Ltd. (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">39,828,291</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">892,743</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,007,961</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Oil, Gas &amp; Consumable Fuels &#151; 1.2%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">African Petroleum Corp. Ltd. (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">331,833</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">52,686</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">General Maritime Corp.</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">953,381</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">17,637,548</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Seven Generations Energy Ltd. (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">108,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,483,215</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">20,173,449</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Paper &amp; Forest Products &#151; 0.5%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ainsworth Lumber Co. Ltd. (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,147,503</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,354,383</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ainsworth Lumber Co. Ltd. (a)(c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">614,940</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,532,684</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Western Forest Products, Inc.</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">621,145</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,392,959</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,280,026</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Semiconductors &amp; Semiconductor Equipment &#151; 0.0%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">SunPower Corp. (a)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,025</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">39,176</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Software &#151; 0.7%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Amaya Gaming Group, Inc.</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">312,745</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,273,088</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">HMH Holdings/EduMedia (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">206,188</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,958,809</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,231,897</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>
<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Common
                                 Stocks</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT><FONT STYLE="font-size: 8pt"><BR><FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Shares</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Trading Companies &amp; Distributors &#151; 0.2%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">HD Supply Holdings, Inc. (a)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">115,400</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;3,204,658</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total
Common Stocks &#151; 12.6%</B></FONT></DIV>

</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">214,056,664</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Asset-Backed Securities</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>&nbsp;</B>&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000</B></FONT></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Adams Mill CLO Ltd., Series 2014-1A, Class D1, 3.70%, 7/15/26 (c)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">475,900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ALM Loan Funding, Series 2013-7RA (c)(d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class C, 3.68%, 4/24/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,840</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,714,705</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class D, 5.23%, 4/24/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,360</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,192,785</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ALM XIV Ltd., Series 2014-14A (c)(d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class B, 3.18%, 7/28/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,069</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,052,914</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class C, 3.68%, 7/28/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">711,900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ALM XIV, Ltd., Series 2014-14A, Class D, 5.08%, 7/28/26 (c)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">226,850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Apidos CLO XVIII, Series 2014-18A, Class C, 3.88%, 7/22/26 (c)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">550</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">534,160</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Atlas Senior Loan Fund V, Ltd., Series 2014-1A (c)(d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class C, 3.26%, 7/16/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">246,281</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Atlas Senior Loan Fund V, Ltd., Series 2014-1A (c)(d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class D, 3.71%, 7/16/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">232,497</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Avalon IV Capital, Ltd., Series 2012-1AR, Class CR, 3.08%, 4/17/23 (c)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">850,425</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Benefit Street Partners CLO, Ltd., Series 2014-IVA, Class C, 3.68%, 7/20/26 (c)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">467,857</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Carlyle Global Market Strategies CLO 2012-2, Ltd., Series 2012-2AR, Class ER, 6.33%, 7/20/23
                                  (c)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">580</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">575,531</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Cedar Funding, Ltd., Series 2014-3A (c)(d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class C, 3.03%, 5/20/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">784,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class D, 3.78%, 5/20/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">535</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">511,246</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CIFC Funding 2014-II, Ltd., Series 2014-2A, Class A3L, 3.10%, 5/24/26 (c)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">487,923</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CIFC Funding Ltd., Series 2014-3A (c)(d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class C1, 2.95%, 7/22/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">484,898</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class D, 3.55%, 7/22/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">233,817</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Galaxy CLO Ltd., Series 2014-18A, Class C1, 3.23%, 10/15/26 (c)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">490,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Gramercy Park CLO, Ltd., Series 2012-1AR, Class DR, 5.73%, 7/17/23 (c)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">494,776</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Jamestown CLO IV Ltd., Series 2014-4A, Class C, 3.73%, 7/15/26 (c)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">235,334</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">LCM X LP, Series 10AR, Class ER, 5.73%, 4/15/22 (c)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">981,918</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Madison Park Funding, Ltd. (c)(d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.83%, 7/20/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">476,927</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-8AR, Class CR, 3.03%, 4/22/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-8AR, Class DR, 4.08%, 4/22/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Neuberger Berman CLO XVII, Ltd., Series 2014-17A, Class D, 3.78%, 8/04/25 (c)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">473,850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Octagon Investment Partners XII, Ltd., Series 2012-1AR, Class ER, 5.74%, 5/05/23 (c)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,191,359</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Octagon Investment Partners XX, Ltd., Series 2014-1A (c)(d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class D, 3.89%, 8/12/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">239,975</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class E, 5.49%, 8/12/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">233,150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Palmer Square CLO, Ltd., Series 2014-1A (c)(d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class B, 2.82%, 10/17/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,074,330</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class C, 4.12%, 10/17/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">845</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">832,468</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class D, 6.02%, 10/17/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">590</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">584,247</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Steele Creek CLO 2014-1, Ltd., Series 2014-1A, Class B, 2.48%, 8/21/26 (c)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">493,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">TICP CLO II, Ltd., Series 2014-2A, Class A1A, 1.68%, 7/20/26 (c)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">994,777</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE>
<!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">
<!-- agabop mode="frill" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">27<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 15 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 16 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Consolidated Schedule of Investments (continued)</FONT><FONT
color=gray STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Corporate High
Yield Fund, Inc. (HYT)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Asset-Backed
     Securities</B></FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Venture CDO, Ltd., Series 2014-17A, Class C, 3.13%, 7/15/26 (c)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;486,603</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Venture XIII CLO, Ltd., Series 2013-13A, Class D, 3.78%, 6/10/25 (c)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">945,555</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Washington Mill CLO, Ltd., Series 2014-1A (c)(d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class C, 3.23%, 4/20/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">515</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">510,475</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class D, 3.68%, 4/20/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">660</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">618,817</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">WhiteHorse IX, Ltd., Series 2014-9A, Class C, 2.92%, 7/17/26 (c)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">239,291</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">WhiteHorse, Ltd., Series 2014-1A, Class C, 2.99%, 5/01/26
                                         (c)(d)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">680</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">654,221</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total
Asset-Backed Securities &#151; 1.5%</B></FONT></DIV>

</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">25,785,362</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Corporate Bonds</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>&nbsp;</B>&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Aerospace &amp; Defense &#151; 1.4%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">B/E Aerospace, Inc., 5.25%, 4/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">410</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">443,825</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CTP Transportation Products LLC/CTP Finance, Inc., 8.25%, 12/15/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,095</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,179,863</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Huntington Ingalls Industries, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.88%, 3/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,015</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,072,094</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.13%, 3/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,405</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,527,937</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,140</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,242,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">TransDigm, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.50%, 10/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,490</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,490,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 7/15/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,680</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,849,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.50%, 7/15/24 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,048</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,199,200</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">24,004,919</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="7" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Air Freight &amp; Logistics &#151; 0.3%</B></FONT></DIV>

</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CEVA Group PLC, 9.00%, 9/01/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">844</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">852,440</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">National Air Cargo Group, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">12.38%, 8/16/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,174</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,174,016</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">12.38%, 9/02/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,155</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,155,408</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">XPO Logistics, Inc., 7.88%, 9/01/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,456,000</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,637,864</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Airlines &#151; 2.8%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,420</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,644,700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Continental Airlines Pass-Through Trust:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1997-4, Class B, 6.90%, 7/28/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">333</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">351,015</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-3, Class C, 6.13%, 4/29/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,145</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,453,700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Delta Air Lines Pass-Through Trust, Class B:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2009-1, 9.75%, 6/07/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">864</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">977,172</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2010-1, 6.38%, 7/02/17 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,647</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,805,820</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">US
                                         Airways Pass-Through Trust:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2011-1, Class C, 10.88%, 10/22/14</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,449</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,470,877</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-1, Class C, 9.13%, 10/01/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,634</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,723,353</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-2, Class C, 5.45%, 6/03/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,720</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,820,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-1, Class B, 5.38%, 11/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,255</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,425,788</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Virgin Australia Trust, Series 2013-1 (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class C, 7.13%, 10/23/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,395</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,772,804</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class D, 8.50%, 10/23/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,036</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,376,502</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">47,821,831</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Auto Components &#151; 2.5%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Affinia Group, Inc., 7.75%, 5/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,109</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,202,270</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Autodis SA, 6.50%, 2/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">265</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">364,096</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Brighthouse Group PLC, 7.88%, 5/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">698,923</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CNH Industrial Finance Europe SA, 2.75%, 3/18/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,527</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,028,251</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Dana Holding Corp., 6.75%, 2/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">213,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Delphi Corp., 6.13%, 5/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">420</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">464,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Icahn Enterprises LP/Icahn Enterprises Finance Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.50%, 3/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">352</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">354,200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.88%, 3/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,093,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 8/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,973</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,173,678</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.88%, 2/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,797</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,915,873</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
                                 Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="9" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Auto Components (concluded)</B></FONT></DIV>

</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">IDQ Holdings, Inc., 11.50%, 4/01/17 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,155</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;2,348,950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Rhino Bondco SpA, 7.25%, 11/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">490</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">684,397</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Schaeffler Holding Finance BV:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">2.75%, 5/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,035</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,680,979</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">(6.88% Cash or 7.63% PIK), 6.88%, <BR>8/15/18 (c)(e)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,529,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">(6.88% Cash), 6.88%, 8/15/18 (e)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,660</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,298,939</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Servus Luxembourg Holding SCA, 7.75%, 6/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">706</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">989,775</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Titan International, Inc., 6.88%, 10/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,505</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,517,525</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">UCI International, Inc., 8.63%, 2/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,080</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,761,400</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">43,319,231</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Automobiles &#151; 1.2%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Chrysler Group LLC/CG Co-Issuer, Inc., Term Loan, 8.25%, 6/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,920</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,263,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ford Motor Co., 4.25%, 11/15/16 (f)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">160</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">323,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">General Motors Co.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.88%, 10/02/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">940</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,005,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 10/02/43</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,410</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,688,225</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Jaguar Land Rover Automotive PLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.25%, 3/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,269</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,181,238</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 2/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,555</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,600,896</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">20,063,059</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Banks &#151; 1.2%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Banco Bilbao Vizcaya Argentaria SA, 7.00% (d)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,379,647</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Banco Espirito Santo SA:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.75%, 1/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,504,978</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.00%, 1/21/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">129,255</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CIT Group, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.25%, 3/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,320</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,611,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.63%, 4/01/18 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,561,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.50%, 2/15/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,919</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,463,871</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 4/01/36</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,814,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">HSH Nordbank AG, 1.00%, 2/14/17 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">608</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">651,105</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">21,115,456</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Beverages &#151; 0.1%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Hydra Dutch Holdings 2BV, 5.70%, 4/15/19 (d)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,355</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,753,696</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Biotechnology &#151; 0.2%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Laba Royalty Sub LLC, 9.00%, 5/15/29 (c)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,630</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,656,300</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Building Products &#151; 1.5%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">American Builders &amp; Contractors Supply Co., Inc., 5.63%, 4/15/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,715</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,745,013</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">BMBG Bond Finance SCA, 5.20%, 10/15/20 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,020</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,358,456</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Builders FirstSource, Inc., 7.63%, 6/01/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,058</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,150,610</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Building Materials Corp. of America, 6.75%, 5/01/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,490</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,670,525</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Cemex Finance LLC, 6.00%, 4/01/24 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,295</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,426,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Cemex SAB de CV, 5.88%, 3/25/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,335</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,398,413</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CPG Merger Sub LLC, 8.00%, 10/01/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,590</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,769,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Momentive Performance Materials, Inc., 8.88%, 10/15/20 (a)(h)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,068</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,001,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ply Gem Industries, Inc., 6.50%, 2/01/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,550</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,514,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">USG Corp., 9.75%, 1/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,935</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,633,462</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">25,668,529</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Capital Markets &#151; 1.4%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">American Capital Ltd., 6.50%, 9/15/18 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,840</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,032,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Blackstone CQP Holdco LP, 9.30%, 3/18/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">16,121</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">16,443,093</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">E*Trade Financial Corp. (f)(i):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">0.00%, 8/31/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,206</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,604,206</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series A, 0.00%, 8/31/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">373</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">805,447</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">23,884,746</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Chemicals &#151; 1.4%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 2/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">696,393</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.38%, 5/01/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,760</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,918,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
<!-- table_boopfix mode="frill" -->
</TR>
</TABLE>
<!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">
<!-- agabop mode="frill" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">28</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 16 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 17 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Consolidated Schedule of Investments (continued)</FONT><FONT
color=gray STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Corporate High
Yield Fund, Inc. (HYT)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt"><TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Chemicals (concluded)</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Axiall Corp., 4.88%, 5/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">629</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;629,786</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Basell Finance Co. BV, 8.10%, 3/15/27 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,115</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,876,174</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Celanese US Holdings LLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.88%, 6/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,848</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,028,180</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.63%, 11/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,565</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,592,387</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Huntsman International LLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.63%, 3/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">945</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,037,138</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.13%, 4/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,779</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,453,224</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">INEOS Finance PLC, 8.38%, 2/15/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">108,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">INEOS Group Holdings SA:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.13%, 8/15/18 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,194,062</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.50%, 8/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">378</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">517,265</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 2/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">506</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">684,804</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">LSB Industries, Inc., 7.75%, 8/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,313</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,434,453</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Montichem Holdco SA, 5.25%, 6/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">311</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">414,053</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.38%, 3/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">510</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">512,550</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">811</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">894,128</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">PolyOne Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.38%, 9/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,205</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,298,388</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.25%, 3/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,506</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,554,945</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Rockwood Specialties Group, Inc., 4.63%, 10/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,596</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,659,840</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">24,504,670</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Commercial Services &amp; Supplies &#151; 3.0%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">AA
                                         Bond Co., Ltd., 9.50%, 7/31/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">996</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,834,983</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ADS Waste Holdings, Inc., 8.25%, 10/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,546</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,646,490</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ARAMARK Corp., 5.75%, 3/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,608</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,779,380</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Aviation Capital Group Corp., 6.75%, 4/06/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,002</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,391,597</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">649</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">664,815</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Bilbao Luxembourg SA, (10.5% Cash or 11.25% PIK), 10.50%, 12/01/18 (e)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">568,809</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Brand Energy &amp; Infrastructure Services, Inc., 8.50%, 12/01/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,057</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,179,280</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Covanta Holding Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.38%, 10/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,970</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,185,325</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.88%, 3/01/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,180</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,221,300</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Jurassic Holdings III, Inc., 6.88%, 2/15/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,738</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,799,605</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Mobile Mini, Inc., 7.88%, 12/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,040</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,203,200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Mustang Merger Corp., 8.50%, 8/15/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,688</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,829,120</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">United Rentals North America, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.38%, 5/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,890</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,060,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.25%, 2/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,168</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,384,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.63%, 4/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,095</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,209,137</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.13%, 6/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,055</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,126,212</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 11/15/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,256</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,505,660</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Verisure Holding AB:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.75%, 9/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">790</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,105,533</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.75%, 12/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">673</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">943,536</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">50,638,882</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Communications Equipment &#151; 2.1%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Alcatel-Lucent USA, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.63%, 7/01/17 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,735</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,761,025</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.75%, 11/15/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,755</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,970,912</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.45%, 3/15/29</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,078</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,986,245</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Avaya, Inc. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.00%, 4/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,505</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,497,475</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">10.50%, 3/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,355</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,243,213</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CommScope, Inc. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 6/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,475</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,497,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.50%, 6/15/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,413</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,437,727</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Nokia OYJ, 5.00%, 10/26/17 (f)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,798,398</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Zayo Group LLC/Zayo Capital, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.13%, 1/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,725</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,175,844</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">10.13%, 7/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,470</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,772,125</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">35,140,089</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>
<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Construction &amp; Engineering &#151; 0.8%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Aldesa Financial Services SA, 7.25%, 4/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">960</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;1,290,051</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Astaldi SpA, 7.13%, 12/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,654</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,752,322</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">BlueLine Rental Finance Corp., 7.00%, 2/01/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,032</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,091,340</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">H&amp;E Equipment Services, Inc., 7.00%, 9/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,462</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,689,735</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Novafives SAS:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.21%, 6/30/20 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">455</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">600,537</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.50%, 6/30/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">320</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">426,561</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,852</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,001,730</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">862</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">853,380</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">13,705,656</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Construction Materials &#151; 2.4%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">HD
                                         Supply, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.13%, 4/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">13,109</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">14,288,810</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">11.00%, 4/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,123</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,559,872</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 7/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,975</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">13,948,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Kerneos Tech Group SAS:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.92%, 3/01/21 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">194</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">257,989</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 3/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">262</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">358,025</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Officine MaccaFerri SpA, 5.75%, 6/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">780</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,040,767</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">40,453,588</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Consumer Finance &#151; 0.3%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ford Motor Credit Co. LLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">12.00%, 5/15/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,120</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,207,972</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.63%, 8/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">361</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">412,299</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.13%, 1/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">634,775</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">IVS F. SpA, 7.13%, 4/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,260</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,771,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Springleaf Finance Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.90%, 12/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">315</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">344,137</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.75%, 10/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">297</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">337,095</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.25%, 10/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">539</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">623,892</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,331,770</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Containers &amp; Packaging &#151; 1.5%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 1/31/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,504</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,519,040</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 6/30/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,825</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,806,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.25%, 1/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,855</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,406,910</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ball Corp., 4.00%, 11/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,129</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,081,017</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Beverage Packaging Holdings Luxembourg II SA (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 12/15/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,113</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,149,977</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 6/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,137</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,169,055</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">93</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">99,278</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Crown European Holdings SA, 4.00%, 7/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,325</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,802,789</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Graphic Packaging International, Inc., 7.88%, 10/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,080</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,168,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Metsa Board OYJ, 4.00%, 3/13/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">550</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750,669</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">OI
                                         European Group BV, 4.88%, 3/31/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,057</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,496,356</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Pactiv LLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.95%, 12/15/25</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,267</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,597,692</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.38%, 4/15/27</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">553</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">595,858</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">SGD Group SAS, 5.63%, 5/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">405</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">540,206</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Tekni-Plex, Inc., 9.75%, 6/01/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,907</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,092,932</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">25,276,929</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Distributors &#151; 0.4%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">VWR Funding, Inc., 7.25%, 9/15/17</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,554</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,914,470</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Diversified Consumer Services &#151; 0.5%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">APX Group, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.38%, 12/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">580</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">588,700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.75%, 12/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">599</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">596,005</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Garda World Security Corp., 7.25%, 11/15/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">702</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">718,673</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Laureate Education, Inc., 9.25%, 9/01/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,935</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,083,375</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,986,753</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
<!-- table_boopfix mode="frill" -->
</TR>
</TABLE>
<!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">
<!-- agabop mode="frill" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">29<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 17 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 18 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Consolidated Schedule of Investments (continued)</FONT><FONT
color=gray STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Corporate High
Yield Fund, Inc. (HYT)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt"><TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Diversified Financial Services &#151; 4.7%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Aircastle Ltd., 6.25%, 12/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,795</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;1,943,088</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ally Financial, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 9/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,141</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,364,921</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.00%, 11/01/31</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">20,980</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">27,136,117</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">CE
                                         Energy AS, 7.00%, 2/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">745</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,016,825</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Co-Operative Group Holdings, 6.88%, 7/08/20 (j)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">730</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,293,714</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">DFC Finance Corp., 10.50%, 6/15/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,745</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,782,744</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ford Motor Credit Co. LLC, 5.88%, 8/02/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">235,032</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Gala Group Finance PLC, 8.88%, 9/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,417</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,254,283</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Jarden Corp., 1.88%, 9/15/18 (f)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">137,875</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Jefferies Finance LLC/JFIN Co-Issuer Corp. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.38%, 4/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,410</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,563,450</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.88%, 4/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,987</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,994,467</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">JPMorgan Chase &amp; Co., 6.75% (d)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,674</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,092,457</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Lehman Brother Holding Escrow, 1.00%, 9/22/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">430</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">86,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Lehman Brothers Holdings, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.38%, 10/17/14</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">94,276</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.75%, 1/16/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,890</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">509,090</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">1.00%, 2/05/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,012,070</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">1.00%, 12/31/49</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,535</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">307,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Leucadia National Corp., 8.13%, 9/15/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,503</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,801,324</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Reynolds Group Issuer, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.13%, 4/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,140</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,222,925</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.00%, 4/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,405</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,575,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.88%, 8/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">728</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">788,060</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.88%, 8/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,015</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,342,881</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 10/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,982</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,431,190</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.25%, 2/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">631</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">688,579</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">80,673,618</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Diversified Telecommunication Services &#151; 3.7%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CenturyLink, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.45%, 6/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,231,875</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series V, 5.63%, 4/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,420</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,731,650</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, 12/15/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,329,437</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Consolidated Communications Finance Co., 10.88%, 6/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,915</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,211,825</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Frontier Communications Corp., 8.50%, 4/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,371,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Level 3 Communications, Inc., 8.88%, 6/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,780</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,922,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Level 3 Financing, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.13%, 7/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,665</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,297,362</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.00%, 6/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,395</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,580,612</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.63%, 7/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,235</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,120,262</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Telecom Italia SpA:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.13%, 11/15/16 (f)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,500,710</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.38%, 6/24/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,623,047</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.88%, 9/25/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">870</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,254,350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.50%, 1/25/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,911,606</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.88%, 5/19/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,317,855</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Telefonica SA, Series TIT, 6.00%, 7/24/17 (f)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,208,926</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Telenet Finance V Luxembourg SCA:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 8/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,362</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,941,716</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.75%, 8/15/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,982</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,912,826</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">tw
                                         telecom holdings, Inc., 5.38%, 10/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,630</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,035,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Windstream Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.75%, 10/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,648</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,775,720</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.75%, 10/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,720</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,874,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.38%, 8/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">315</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">315,788</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">62,469,142</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Electric Utilities &#151; 0.4%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Homer City Generation LP (e):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.14%, 10/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">909,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.73%, 10/01/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,165</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,294,900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Miran Mid-Atlantic Pass Through Trust:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series B, 9.13%, 6/30/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">989</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,065,641</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series C, 10.06%, 12/30/28</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,237</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,513,806</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,783,847</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>
<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
                                 Bonds</B></FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Electrical Equipment &#151; 0.3%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Belden, Inc., 5.50%, 4/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;821,876</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">International Wire Group Holdings, Inc., 8.50%, 10/15/17 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,421</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,531,127</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Rexel SA, 5.25%, 6/15/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">205</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">209,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Techem Energy Metering Service GmbH &amp; Co., 7.88%, 10/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">210</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">306,282</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Trionista Holdco GmbH, 5.00%, 4/30/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,511</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,058,885</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Trionista TopCo GmbH, 6.88%, 4/30/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">418</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">587,677</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,514,947</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Electronic Equipment, Instruments &amp; Components &#151; 0.1%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CDW LLC/CDW Finance Corp., 8.50%, 4/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">102</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">109,650</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Jabil Circuit, Inc., 8.25%, 3/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,310</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,542,525</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,652,175</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Energy Equipment &amp; Services &#151; 1.8%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Atwood Oceanics, Inc., 6.50%, 2/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">780</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">826,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Calfrac Holdings LP, 7.50%, 12/01/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,146</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,342,625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CGG SA, 7.75%, 5/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">499</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">505,238</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Gates Global LLC / Gates Global Co., 5.75%, 7/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">110</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">140,227</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">283</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">292,198</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">MEG Energy Corp. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.50%, 3/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,601</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,799,055</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.00%, 3/31/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,056</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,585,900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Peabody Energy Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 11/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,526</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,631,780</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 11/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,174</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,165,847</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.88%, 11/01/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,795</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,878,850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Pioneer Energy Services Corp., 6.13%, 3/15/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">528</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">537,240</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Precision Drilling Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.63%, 11/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">425</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">450,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.25%, 11/15/24 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,147</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,147,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,361</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,429,050</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">30,732,310</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Food &amp; Staples Retailing &#151; 0.8%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Bakkavor Finance 2 PLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.25%, 2/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,427</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,511,177</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.75%, 6/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">795</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,432,004</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Brakes Capital, 7.13%, 12/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">830</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,395,287</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Labeyrie Fine Foods SAS, 5.63%, 3/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">341,627</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Premier Foods Finance PLC, 6.50%, 3/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">159</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">258,685</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">R&amp;R Ice Cream PLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.75%, 5/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">745</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">978,893</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.50%, 5/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">327,069</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.25%, 5/15/18 (e)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">823</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,103,959</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Rite Aid Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.25%, 3/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,080</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,329,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.75%, 6/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,283</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,422,834</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">13,101,135</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Food Products &#151; 0.7%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Boparan Finance PLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.25%, 7/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">405</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">643,913</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.38%, 7/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">440</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">555,047</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.50%, 7/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">984,523</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Findus Bondco SA:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.13%, 7/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">830</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,183,278</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.50%, 7/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">465</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">833,728</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">JBS Investments GmbH, 7.75%, 10/28/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,638</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,849,040</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Smithfield Foods, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.88%, 8/01/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">891</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">953,370</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.63%, 8/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,626</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,888,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Univeg Holding BV, 7.88%, 11/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">595</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">773,982</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,665,481</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
<!-- table_boopfix mode="frill" -->
</TR>
</TABLE>
<!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">
<!-- agabop mode="frill" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">30</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 18 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 19 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Consolidated Schedule of Investments (continued)</FONT><FONT
color=gray STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Corporate High
Yield Fund, Inc. (HYT)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt"><TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
                                         Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Health Care Equipment &amp; Supplies &#151; 0.7%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3AB Optique Developpement SAS, 5.63%, 4/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;1,141,166</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Biomet, Inc., 6.50%, 10/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,801</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,986,566</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">DJO Finance LLC/DJO Finance Corp., 8.75%, 3/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,106</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,237,625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,580</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,714,300</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">IDH Finance PLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 12/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">614</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,060,106</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 12/01/18 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">345,311</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Teleflex, Inc., 6.88%, 6/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,635</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,729,012</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,214,086</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Health Care Providers &amp; Services &#151; 5.8%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Acadia Healthcare Co., Inc., 5.13%, 7/01/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,145</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,156,450</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Alere, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.25%, 7/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">802</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">846,110</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.63%, 10/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,834</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,975,700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Amsurg Corp., 5.63%, 7/15/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,868</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,977,530</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Care UK Health &amp; Social Care PLC, 5.56%, 7/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,253</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,028,164</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CHS/Community Health Systems, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.13%, 8/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,465</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,643,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.88%, 2/01/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,448</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,726,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ConvaTec Healthcare E SA, 7.38%, 12/15/17 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,907</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,632,451</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Crown Newco 3 PLC, 7.00%, 2/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">294</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">508,584</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">DaVita HealthCare Partners, Inc., 5.13%, 7/15/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,166</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,240,261</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">HCA Holdings, Inc., 7.75%, 5/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,666</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,905,940</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">HCA, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.75%, 3/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,911</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,932,833</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.50%, 2/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,730</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,885,437</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.88%, 3/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,565</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,876,937</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.75%, 5/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,487</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,500,011</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.88%, 5/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,096</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,362,240</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 3/15/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,273,438</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Hologic, Inc., 6.25%, 8/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,719</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,088,545</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Kindred Healthcare, Inc., 6.38%, 4/15/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">931</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">940,310</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">MPH Acquisition Holdings LLC, 6.63%, 4/01/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,280</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,339,200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Omnicare, Inc., 3.75%, 4/01/42 (f)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,722</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,750,895</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Priory Group No. 3 PLC, 7.00%, 2/15/18 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,017</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,489,162</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Symbion, Inc., 8.00%, 6/15/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,915</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,993,994</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Tenet Healthcare Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 11/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,308</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,425,720</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 3/01/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,753</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,812,412</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.75%, 6/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,575</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,620,063</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 10/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,835</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,160,975</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.50%, 4/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">74</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">74,185</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.38%, 10/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,005</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,974,962</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.13%, 4/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,192</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,826,040</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Voyage Care Bondco PLC, 6.50%, 8/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">786</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,344,025</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">98,312,174</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Health Care Technology &#151; 0.0%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">IMS Health, Inc., 6.00%, 11/01/20 (c)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">795</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">835,744</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Hotels, Restaurants &amp; Leisure &#151; 4.2%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Caesars Entertainment Operating Co., Inc., 9.00%, 2/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">27,170</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">21,754,656</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Carlson Travel Holdings, Inc., (7.50% Cash or 8.25% PIK), 7.50%, 8/15/19 (c)(e)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">654</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">671,985</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CDW LLC/CDW Finance Corp., 6.00%, 8/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,325</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,396,219</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Cedar Funding Ltd., 5.38%, 6/01/24 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,070</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,075,350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Cirsa Funding Luxembourg SA, 8.75%, 5/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,382</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,599,311</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Enterprise Funding Ltd., Series ETI, 3.50%, 9/10/20 (f)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">675,681</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Enterprise Inns PLC, 6.50%, 12/06/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,598</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,833,054</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Gamenet SpA, 7.25%, 8/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,255</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,698,642</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Gategroup Finance Luxembourg SA, 6.75%, 3/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,164</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,002,902</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>
<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Hotels, Restaurants &amp; Leisure (concluded)</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">GLP Capital LP/GLP Financing II, Inc., 4.38%, 11/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">894</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;927,525</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Greektown Holdings LLC/Greektown Mothership Corp., 8.88%, 3/15/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,220</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,250,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Intralot Capital Luxembourg SA, 6.00%, 5/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">713</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">939,188</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Intralot Finance Luxembourg SA, 9.75%, 8/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,140</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,184,423</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">MCE Finance Ltd., 5.00%, 2/15/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,339</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,322,305</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Regal Entertainment Group, 5.75%, 2/01/25</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">489</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">490,223</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Six Flags Entertainment Corp., 5.25%, 1/15/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,247</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,287,587</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Snai SpA, 7.63%, 6/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,025</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,451,176</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Station Casinos LLC, 7.50%, 3/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,095</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,502,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Travelport LLC/Travelport Holdings, Inc. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.36%, 3/01/16 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">473</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">473,108</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">11.88%, 9/01/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">188</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">188,122</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">(11.38% Cash or 2.50% PIK), 13.88%, 3/01/16 (e)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,152</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,178,074</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (a)(h)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Unique Pub Finance Co. PLC, Series A3, 6.54%, 3/30/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,208</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,858,057</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Vougeot Bidco PLC, 7.88%, 7/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">920</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,596,130</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.38%, 3/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">689</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">723,450</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Wynn Macau Ltd., 5.25%, 10/15/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,425</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,467,438</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">72,547,706</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Household Durables &#151; 2.7%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ashton Woods USA LLC/Ashton Woods Finance Co., 6.88%, 2/15/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,262</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,246,225</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Beazer Homes USA, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.63%, 4/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">215</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">227,362</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 6/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,638</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,610,715</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 9/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,710</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,845,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,275</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,414,344</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,604</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,662,145</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">K.
                                         Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,360</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,687,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">PulteGroup, Inc., 6.38%, 5/15/33</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,050</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,050,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Ryland Group, Inc., 6.63%, 5/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,033,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Spie BondCo 3 SCA, 11.00%, 8/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">878</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,286,387</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Standard Pacific Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">10.75%, 9/15/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,920</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,061,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.38%, 1/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,270</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,017,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Taylor Morrison Communities, Inc./Monarch Communities, Inc. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.75%, 4/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,650</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,786,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.25%, 4/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,484</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,498,840</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Weyerhaeuser Real Estate Co. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.38%, 6/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,270</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,270,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.88%, 6/15/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,540</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,570,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">William Lyon Homes, Inc., 8.50%, 11/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,579</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,059,795</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">46,327,288</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Household Products &#151; 0.4%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ontex IV SA, 9.00%, 4/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,163</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,640,028</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Spectrum Brands, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.75%, 3/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">535</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">569,775</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.38%, 11/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,284,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.63%, 11/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,385</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,499,263</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,993,441</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Independent Power and Renewable Electricity Producers &#151; 1.8%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Baytex Energy Corp. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.13%, 6/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">944</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">945,180</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 6/01/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">335</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">335,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
<!-- table_boopfix mode="frill" -->
</TR>
</TABLE>
<!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">
<!-- agabop mode="frill" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">31<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 19 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 20 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Consolidated Schedule of Investments (continued)</FONT><FONT
color=gray STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Corporate High
Yield Fund, Inc. (HYT)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt"><TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Independent Power and Renewable Electricity Producers (concluded)</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Calpine Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 1/15/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">676</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;728,390</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.38%, 1/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,099</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,149,990</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.88%, 1/15/24 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,999</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,138,930</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 1/15/25</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,394</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,447,940</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">NRG Energy, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.63%, 1/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,493</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,437,118</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 5/01/24 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,606</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,723,195</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">NRG REMA LLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series B, 9.24%, 7/02/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">117</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">125,097</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series C, 9.68%, 7/02/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,526,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">QEP Resources, Inc., 5.38%, 10/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,843</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,886,771</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">30,443,611</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Insurance &#151; 1.2%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,232</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,637,080</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CNO Financial Group, Inc., 6.38%, 10/01/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,244</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,331,080</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Galaxy Bidco Ltd., 6.38%, 11/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">994,845</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Hockey Merger Sub 2, Inc., 7.88%, 10/01/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,920</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,125,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,650</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,896,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Pension Insurance Corp. PLC, 6.50%, 7/03/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">775</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,325,833</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">TMF Group Holding BV, 9.88%, 12/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,140</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,621,780</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">19,932,793</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Internet Software &amp; Services &#151; 0.4%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Bankrate, Inc., 6.13%, 8/15/18 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,128</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,161,840</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Cerved Group SpA:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.38%, 1/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">601</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">842,988</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.00%, 1/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">581,291</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Interactive Data Corp., 5.88%, 4/15/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,101</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,085,621</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,671,740</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>IT Services &#151; 4.7%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ceridian Corp., 8.88%, 7/15/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,040,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">13,854</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">15,828,195</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ceridian LLC/Comdata, Inc., 8.13%, 11/15/17 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,190</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,273,565</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Epicor Software Corp., 8.63%, 5/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,077</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,300,083</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">First Data Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.38%, 6/15/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,670</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,255,225</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.88%, 8/15/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,745</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,992,050</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.75%, 11/01/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,293</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,647,172</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.25%, 1/15/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,394</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,519,460</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">10.63%, 6/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,111</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,448,760</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">11.75%, 8/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,966</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,054,795</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">(8.75% Cash or 10.00% PIK), 8.75%, 1/15/22 (c)(e)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">365</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">399,675</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">SunGard Data Systems, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.38%, 11/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,239,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.63%, 11/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,327,625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">WEX, Inc., 4.75%, 2/01/23 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,728</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,618,880</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">79,944,985</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Machinery &#151; 0.2%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Galapagos Holding SA, 7.00%, 6/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">475</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">610,502</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Galapagos SA, 5.38%, 6/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">325</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">431,304</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Selecta Group BV, 6.50%, 6/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,060</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,442,105</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">SPX Corp., 6.88%, 9/01/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">980</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,080,450</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,564,361</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Media &#151; 10.4%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Adria Bidco BV, 7.88%, 11/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">842,965</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Altice Financing SA, 6.50%, 1/15/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,410</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,536,525</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Altice SA:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.25%, 5/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,010</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,800,373</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.75%, 5/15/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,645</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,810,312</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">AMC Networks, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.75%, 7/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,379,688</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.75%, 12/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,613</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,633,163</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Cablevision Systems Corp., 5.88%, 9/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,070</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,116,050</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>
<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
                                 Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Media (continued)</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.25%, 2/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">650</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;664,625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 2/15/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">983</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,012,490</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CCO Holdings LLC/CCO Holdings Capital Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.25%, 9/30/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,986</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,045,790</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.13%, 2/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,230</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,208,850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(c)(h)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,439</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Clear Channel Communications, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.00%, 12/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,789</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,921,615</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.00%, 3/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,407</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,459,763</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Clear Channel Worldwide Holdings, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.63%, 3/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,069</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,353,830</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.50%, 11/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,724</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,530,445</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Clearwire Communications LLC/Clearwire Finance, Inc., 8.25%, 12/01/40 (c)(f)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,706</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,341,310</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Columbus International, Inc., 7.38%, 3/30/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,455</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,761,631</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">DISH DBS Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.25%, 4/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,209</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,285,214</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.13%, 5/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,652</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,768,300</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">901</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">955,060</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Gannett Co., Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.13%, 10/15/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">857</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">878,425</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.13%, 7/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">506</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">517,385</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.38%, 10/15/23 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,314</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,396,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Gray Television, Inc., 7.50%, 10/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,743</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,838,865</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Harron Communications LP/Harron Finance Corp., 9.13%, 4/01/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,510</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,062,475</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Inmarsat Finance PLC, 4.88%, 5/15/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,805</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,812,012</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Intelsat Jackson Holdings SA:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.63%, 12/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,040</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,086,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.50%, 8/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,015</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,996,194</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Intelsat Luxembourg SA, 6.75%, 6/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,761,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Level 3 Escrow II, Inc., 5.38%, 8/15/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,875</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,899,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Live Nation Entertainment, Inc., 7.00%, 9/01/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">987</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,063,493</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The McClatchy Co., 9.00%, 12/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,934</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,175,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Midcontinent Communications &amp; Midcontinent Finance Corp., 6.25%, 8/01/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,901</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,027,782</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,039</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,095,072</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">NBCUniversal Enterprise, Inc., 5.25% (c)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">417,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Nexstar Broadcasting, Inc., 6.88%, 11/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,023</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,084,380</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,545</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,560,450</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Numericable Group SA:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.38%, 5/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">890</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,239,463</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 5/15/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,205</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,421,150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 5/15/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,785</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,483,240</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 5/15/24 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,285</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,325,156</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Play Finance 2 SA, 5.25%, 2/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,070</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,465,678</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ProQuest LLC/ProQuest Notes Co., 9.00%, 10/15/18 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,009</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,049,360</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Radio One, Inc., 9.25%, 2/15/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,686</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,793,440</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,450</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,547,875</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sinclair Television Group, Inc., 5.63%, 8/01/24 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,789</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,784,528</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sirius XM Holdings, Inc. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.25%, 5/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,309</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,262,820</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 8/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,811</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,883,440</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sterling Entertainment Corp., 10.00%, 12/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,810</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,906,200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Unitymedia Hessen GmbH &amp; Co. KG/Unitymedia NRW GmbH:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 3/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,494</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,276,309</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.50%, 1/15/23 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,550</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,607,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 4/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">208</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">295,911</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
<!-- table_boopfix mode="frill" -->
</TR>
</TABLE>
<!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">
<!-- agabop mode="frill" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">32</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 20 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 21 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Consolidated Schedule of Investments (continued)</FONT><FONT
color=gray STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Corporate High
Yield Fund, Inc. (HYT)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt"><TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Media (concluded)</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Unitymedia KabelBW GmbH:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.63%, 12/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;139,794</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.50%, 3/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,061</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,053,327</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Univision Communications, Inc. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.50%, 5/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,597</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,748,715</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.13%, 5/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,720</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,896,700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">UPCB Finance II Ltd., 6.38%, 7/01/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,437</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,171,167</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Virgin Media Secured Finance PLC, 6.00%, 4/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,502</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,556,603</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">VTR Finance BV, 6.88%, 1/15/24 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,727</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,852,208</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Wave Holdco LLC/Wave Holdco Corp., 8.25%, 7/15/19 (c)(f)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,710</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,784,525</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,248</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,450,320</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">178,096,136</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Metals &amp; Mining &#151; 3.5%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Arch Coal, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.00%, 6/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,614</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,149,975</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.25%, 10/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">678</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">471,210</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.25%, 6/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">331,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Constellium NV:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.63%, 5/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,270</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,735,465</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 5/15/24 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,385</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,520,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Eco-Bat Finance PLC, 7.75%, 2/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,090</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,814,809</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">First Quantum Minerals Ltd. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.75%, 2/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,954</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,027,275</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.25%, 5/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">583</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">615,065</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Global Brass &amp; Copper, Inc., 9.50%, 6/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,660</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,236,675</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Imperial Metals Corp., 7.00%, 3/15/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">230</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">216,775</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Kaiser Aluminum Corp., 8.25%, 6/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,240</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,384,150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">New Gold, Inc., 6.25%, 11/15/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">112</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">117,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Novelis, Inc., 8.75%, 12/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,130</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">13,418,813</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ovako AB, 6.50%, 6/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">935</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,240,829</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Peabody Energy Corp., 6.50%, 9/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,505</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,514,406</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Peninsula Energy Ltd., 11.00%, 12/14/14</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,800,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Perstorp Holding AB, 8.75%, 5/15/17 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">990</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,056,825</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ryerson, Inc./Joseph T Ryerson &amp; Son, Inc., 9.00%, 10/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,740</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,853,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Steel Dynamics, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.38%, 8/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,345</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,439,150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.25%, 4/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,168</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,185,520</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ThyssenKrupp AG, 3.13%, 10/25/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,040</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,803,732</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Vedanta Resources PLC, 8.25%, 6/07/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,565</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,760,625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,804</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,668,320</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">60,361,969</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Multiline Retail &#151; 1.1%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CST Brands, Inc., 5.00%, 5/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,083</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,083,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Debenhams PLC, 5.25%, 7/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,155</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,898,299</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Dufry Finance SCA:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.50%, 10/15/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,927</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,004,176</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.50%, 7/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">670</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">918,580</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Hema Bondco I BV, 6.25%, 6/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,105</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,791,820</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Neiman Marcus Group Ltd., 8.00%, 10/15/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,817</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,432,589</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">18,128,464</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Oil, Gas &amp; Consumable Fuels &#151; 13.4%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Access Midstream Partners LP/ACMP Finance Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.88%, 4/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,325</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,407,812</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.13%, 7/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,520</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,653,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.88%, 5/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,612</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,801,630</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.88%, 3/15/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,861</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,956,841</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">American Energy-Permian Basin LLC/AEPB Finance Corp. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.13%, 11/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,649,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.38%, 11/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,455</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,418,625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>
<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
                                 Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Oil, Gas &amp; Consumable Fuels (continued)</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Antero Resources Finance Corp., 5.38%, 11/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,942</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;2,000,260</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Athlon Holdings LP/Athlon Finance Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.38%, 4/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,053</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,142,505</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 5/01/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,032</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,092,960</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Berry Petroleum Co., 6.38%, 9/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,755</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,829,587</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Bonanza Creek Energy, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.75%, 4/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">637</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">668,850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 2/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,616</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,652,160</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">BreitBurn Energy Partners LP/BreitBurn Finance Corp., 7.88%, 4/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,420</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,505,200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Carrizo Oil &amp; Gas, Inc., 7.50%, 9/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,321</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,413,470</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Chaparral Energy, Inc., 7.63%, 11/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,220</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,309,975</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Chesapeake Energy Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.63%, 8/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,632</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,880,880</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.88%, 11/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,641</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,903,560</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.13%, 2/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">524</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">593,430</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 3/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,863</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,079,574</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Cimarex Energy Co., 4.38%, 6/01/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,349</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,404,646</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Concho Resources, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.00%, 1/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">465</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">505,688</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.50%, 10/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,016</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,157,120</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.50%, 4/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,253</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,405,077</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CONSOL Energy, Inc., 5.88%, 4/15/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,028</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,524,260</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.13%, 3/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,207</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,249,245</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,710</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,830,575</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Denbury Resources, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.50%, 5/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,481</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,518,025</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.63%, 7/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,745</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,683,925</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Diamondback Energy, Inc., 7.63%, 10/01/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,449</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,681,655</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">El Paso LLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.80%, 8/01/31</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,547</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,158,280</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.75%, 1/15/32</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,669</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,100,422</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Energy Transfer Equity LP, 5.88%, 1/15/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,967</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,415,144</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Energy XXI Gulf Coast, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.25%, 12/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,756,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.75%, 6/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,025</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,116,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.88%, 3/15/24 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,141</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,160,968</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">EnQuest PLC, 7.00%, 4/15/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,206</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,212,030</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">EP Energy LLC/Everest
                                  Acquisition Finance, Inc., 6.88%, 5/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">518</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">546,490</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">EV Energy Partners
                                  LP/EV Energy Finance Corp., 8.00%, 4/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">820</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">848,700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">EXCO Resources, Inc., 7.50%, 9/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,290</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,277,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Gulfport Energy Corp., 7.75%, 11/01/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,041</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,119,075</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Halcon Resources Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.75%, 7/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,146</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,312,315</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.88%, 5/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,236</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,458,390</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.25%, 2/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,257</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,349,704</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Hilcorp Energy I LP/Hilcorp Finance Co. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.63%, 4/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,472</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,586,080</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 12/01/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,448</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,441,880</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ithaca Energy, Inc., 8.13%, 7/01/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,660</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,678,675</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Jones Energy Holdings LLC/Jones Energy Finance Corp., 6.75%, 4/01/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,477,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Kinder Morgan, Inc. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 2/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,130</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,209,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 11/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,146</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,263,465</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Kodiak Oil &amp; Gas Corp., 5.50%, 2/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">892</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">941,060</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Laredo Petroleum, Inc., 7.38%, 5/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,065</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,356,175</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Legacy Reserves LP/Legacy Reserves Finance Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.63%, 12/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">843</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">853,538</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.63%, 12/01/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,390</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,407,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Lightstream Resources Ltd., 8.63%, 2/01/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,441</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,491,435</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
<!-- table_boopfix mode="frill" -->
</TR>
</TABLE>
<!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">
<!-- agabop mode="frill" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">33<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 21 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 22 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Consolidated Schedule of Investments (continued)</FONT><FONT
color=gray STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Corporate High
Yield Fund, Inc. (HYT)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt"><TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Oil, Gas &amp; Consumable Fuels (continued)</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Linn Energy LLC/Linn Energy Finance Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.50%, 5/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">243</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;250,138</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 11/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,904</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,965,880</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.63%, 4/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,564</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,872,070</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.75%, 2/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">365</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">388,725</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">MarkWest Energy Partners LP/MarkWest Energy Finance Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 6/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">674</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">724,550</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.50%, 7/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,720</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,747,950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,091</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,131,913</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Memorial Resource Development Corp., 5.88%, 7/01/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,644</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,698,660</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Newfield Exploration Co., 6.88%, 2/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,325</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,541,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">NGPL PipeCo LLC (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.12%, 12/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,130</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,239,550</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.63%, 6/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">891</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">973,418</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Northern Oil and Gas, Inc., 8.00%, 6/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">835</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">876,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Oasis Petroleum, Inc., 6.50%, 11/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,734,687</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Offshore Group Investment Ltd., 7.50%, 11/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,521</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,577,722</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Pacific Drilling SA, 5.38%, 6/01/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,069</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,017,275</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Parsley Energy LLC/Parsley Finance Corp., 7.50%, 2/15/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,536</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,808,160</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">PDC Energy, Inc., 7.75%, 10/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">995</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,089,525</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Penn Virginia Corp., 8.50%, 5/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,035</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,238,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Petrobras Global Finance BV, 3.00%, 1/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,927</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,898,808</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Petroleum Geo-Services ASA, 7.38%, 12/15/18 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,816</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,025,880</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">QEP Resources, Inc., 5.25%, 5/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">810,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Range Resources Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.75%, 8/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">658</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">704,060</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 6/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">568</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">606,340</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 8/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">530</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">563,788</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 3/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,193</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,267,562</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Regency Energy Partners LP/Regency Energy Finance Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 9/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">628</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">675,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.50%, 11/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,835</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,856,262</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">RKI Exploration &amp; Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">460</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">494,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Rockies Express Pipeline LLC, 6.00%, 1/15/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,524</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,681,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Rose Rock Midstream LP/Rose Rock Finance Corp., 5.63%, 7/15/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,747</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,781,940</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Rosetta Resources, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 5/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">256</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">262,080</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.88%, 6/01/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,007</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,024,623</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sabine Pass Liquefaction LLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 4/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,908</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,984,320</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 4/15/23 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,087</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,210,480</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 5/15/24 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,005</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,125,200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sabine Pass LNG LP, 7.50%, 11/30/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,155</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,858,369</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sanchez Energy Corp., 6.13%, 1/15/23 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,942</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,044,970</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">SandRidge Energy, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.75%, 1/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">141</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">148,050</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 3/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">367,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 2/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,378</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,433,120</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Seven Generations Energy Ltd., 8.25%, 5/15/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,098</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,607,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Seventy Seven Energy, Inc., 6.50%, 7/15/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,133</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,166,990</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Seventy Seven Operating LLC, 6.63%, 11/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,269</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,427,830</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">SM
                                         Energy Co.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.63%, 2/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,174</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,226,830</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.50%, 1/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">951</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,031,835</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Summit Midstream Holdings LLC/Summit Midstream Finance Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 7/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,566</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,722,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.50%, 8/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,711</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,745,220</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>
<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Oil, Gas &amp; Consumable Fuels (concluded)</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.38%, 8/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,852</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;4,179,420</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">673</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;704,968</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Triangle USA Petroleum Corp., 6.75%, 7/15/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,057</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,080,783</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ultra Petroleum Corp., 5.75%, 12/15/18 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,596</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,680,370</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Vanguard Natural Resources LLC/VNR Finance Corp., 7.88%, 4/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,593,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Whiting Petroleum Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 3/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,770</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,867,350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 3/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,837</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,016,107</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Williams Cos., Inc., 4.55%, 6/24/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">940</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">946,616</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">229,155,955</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Paper &amp; Forest Products &#151; 0.2%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Clearwater Paper Corp., 4.50%, 2/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">245</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">237,650</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Mercer International, Inc., 9.50%, 12/01/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,175</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,246,969</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">NewPage Corp., 11.38%, 12/31/14 (a)(h)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,925</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Pfleiderer GmbH, 7.88%, 8/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">530</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">691,170</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,335</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,375,050</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,550,840</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Pharmaceuticals &#151; 2.1%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Endo Finance LLC/Endo Finco, Inc. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.25%, 1/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">696</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">754,290</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.38%, 1/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,070</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,067,325</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Grifols Worldwide Operations Ltd., 5.25%, 4/01/22 (c)</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,047</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,158,292</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Jaguar Holding Co. I, (9.38% Cash or 10.13% PIK), 9.38%, 10/15/17 (c)(e)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,320</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,357,950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,596</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,910,650</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Mallinckrodt International Finance SA, 5.75%, 8/01/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,760</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,861,150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Pinnacle Merger Sub, Inc., 9.50%, 10/01/23 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">755</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">828,613</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Salix Pharmaceuticals Ltd., 6.00%, 1/15/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,162</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,260,770</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Valeant Pharmaceuticals International, Inc. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.75%, 8/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,461</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,123,270</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.38%, 10/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,970</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,107,363</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 7/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,498,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.75%, 8/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,241</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,355,851</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">35,284,274</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Professional Services &#151; 0.2%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Truven Health Analytics, Inc., 10.63%, 6/01/20</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,840</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,053,000</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Real Estate Investment Trusts (REITs) &#151; 0.6%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Felcor Lodging LP:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.75%, 6/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,386</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,682,230</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 3/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,422</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,439,775</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Host Hotels &amp; Resorts LP, 2.50%, 10/15/29 (c)(e)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">815</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,425,741</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">iStar Financial, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.00%, 11/01/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">685</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">681,575</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 7/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">480</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">480,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Rayonier AM Products, Inc., 5.50%, 6/01/24 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">414</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">405,720</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,115,041</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Real Estate Management &amp; Development &#151; 1.5%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,515</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,966,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Howard Hughes Corp., 6.88%, 10/01/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,369</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,449,429</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Realogy Corp. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.63%, 1/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">842</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">917,780</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.00%, 1/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,269</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,418,108</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Realogy Group LLC/Realogy Co-Issuer Corp., 4.50%, 4/15/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,542</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,542,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,065</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,107,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">RPG Byty Sro, 6.75%, 5/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,146</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,550,960</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
<!-- table_boopfix mode="frill" -->
</TR>
</TABLE>
<!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">
<!-- agabop mode="frill" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">34</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 22 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 23 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Consolidated Schedule of Investments (continued)</FONT><FONT
color=gray STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Corporate High
Yield Fund, Inc. (HYT)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt"><TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
                                         Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="12" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Real Estate Management &amp; Development (concluded)</B></FONT></DIV></FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,320</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;6,825,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Woodside Homes Co. LLC/Woodside Homes Finance, Inc., 6.75%, 12/15/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,305</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,322,287</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">26,100,264</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Road &amp; Rail &#151; 1.0%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">EC Finance PLC,
                                  5.13%, 7/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">675</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">902,109</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Florida East Coast Holdings Corp. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.75%, 5/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,372</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,557,460</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.75%, 5/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,520</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,607,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Hertz Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 10/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,220</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,360,875</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.75%, 4/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,615</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,693,731</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.88%, 10/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">370</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">380,638</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.38%, 1/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,360</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,525,200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 10/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,475</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,537,687</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,093</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,117,593</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">16,682,693</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Semiconductors &amp; Semiconductor Equipment &#151; 0.5%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Micron Technology, Inc., 5.50%, 2/01/25 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,645</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,703,063</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">NXP BV/NXP Funding LLC (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.75%, 6/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,235</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,246,175</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 2/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,065</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,168,250</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,117,488</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Software &#151; 1.7%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Audatex North America, Inc., 6.13%, 11/01/23 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,431,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">BMC Software Finance, Inc., 8.13%, 7/15/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,672</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,698,720</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Igloo Holdings Corp., (8.25% Cash or 9.00% PIK), 8.25%, 12/15/17 (c)(e)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,636</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,676,900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK),
                                         7.13%, 5/01/21 (c)(e)</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,891</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,976,592</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Infor US, Inc., 9.38%, 4/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,815</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,796,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Nuance Communications, Inc., 5.38%, 8/15/20 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,035</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,060,175</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Sophia LP/Sophia Finance, Inc., 9.75%, 1/15/19 (c)</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,437</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,650,238</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">29,290,125</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Specialty Retail &#151; 1.9%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Asbury Automotive Group, Inc., 8.38%, 11/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,030</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,222,850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">DriveTime Automotive Group, Inc./DT Acceptance Corp., 8.00%, 6/01/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,028</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,043,210</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Hillman Group, Inc., 6.38%, 7/15/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,438</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,434,405</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">House of Fraser Funding PLC, 8.88%, 8/15/18 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,532</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,709,279</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">L Brands, Inc.,
                                  8.50%, 6/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,925</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,729,625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Magnolia BC SA, 9.00%, 8/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,077</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,425,822</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">New Look Bondco I PLC, 8.75%, 5/14/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">438</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">770,775</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Party City Holdings, Inc., 8.88%, 8/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,489</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,846,622</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">PC Nextco Holdings
                                  LLC/PC Nextco Finance, Inc., (8.75% Cash or 9.50% PIK), 8.75%, 8/15/19 (c)(e)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,575</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,618,313</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Penske Automotive Group, Inc., 5.75%, 10/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,775</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,837,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">QVC, Inc. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 10/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,180</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,319,475</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.38%, 10/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,640</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,753,012</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sally Holdings LLC/Sally Capital, Inc., 5.75%, 6/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,359</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,488,745</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">THOM Europe SAS, 7.38%, 7/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,190</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,528,419</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Twin Set-Simona Barbieri SpA, 6.08%, 7/15/19 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">649</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">820,861</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">32,548,538</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Textiles, Apparel &amp; Luxury Goods &#151; 0.5%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Levi Strauss &amp; Co., 6.88%, 5/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,430</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,642,625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Polymer Group, Inc., 6.88%, 6/01/19 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">910,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">PVH Corp., 4.50%, 12/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,401</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,390,492</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Springs Industries, Inc., 6.25%, 6/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,777</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,790,885</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The William Carter Co., 5.25%, 8/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,398</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,460,910</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,195,037</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>
<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Thrifts &amp; Mortgage Finance &#151; 0.1%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Radian Group, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.00%, 11/15/17 (f)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">330</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;466,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">2.25%, 3/01/19 (f)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">712</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,042,190</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.50%, 6/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">926</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">944,520</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,452,835</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Trading Companies &amp; Distributors &#151; 0.3%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Ashtead Capital, Inc., 6.50%, 7/15/22 (c)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,976</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,411,400</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Transportation Infrastructure &#151; 0.4%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Aguila 3 SA:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.88%, 1/31/18 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,894</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,049,760</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.88%, 1/31/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">156,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">JCH Parent, Inc., (10.50% Cash or 11.25% PIK), 10.50%, 3/15/19 (c)(e)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,553</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,540,235</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,745,995</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Wireless Telecommunication Services &#151; 5.5%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Crown Castle International Corp., 5.25%, 1/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,871</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,030,818</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Digicel Group Ltd., (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.25%, 9/30/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,495</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,774,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.13%, 4/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,215</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,448,062</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Digicel Ltd., 6.00%, 4/15/21 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,619</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,847,570</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Geo Group, Inc., 5.88%, 1/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,220</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,269,950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Phones4u Finance PLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.50%, 4/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,694</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,875,572</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.50%, 4/01/18 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,015</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,420,470</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">SBA Communications Corp., 4.88%, 7/15/22 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,280</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,230,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sprint Capital Corp., 8.75%, 3/15/32</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,330</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,482,950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sprint Communications, Inc. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.00%, 11/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">13,529</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">16,082,599</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.00%, 3/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,812</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,595,380</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sprint Corp. (c):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.88%, 9/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,899</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,254,178</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.13%, 6/15/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,577</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,668,540</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">T-Mobile USA, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.63%, 4/28/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,880</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,188,700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.13%, 1/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">367</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">380,304</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.73%, 4/28/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,145</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,482,975</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.50%, 1/15/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,638</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,743,520</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Wind Acquisition Finance SA:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.00%, 7/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,549</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,007,044</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.20%, 7/15/20 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,115</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,789,425</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">94,573,457</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total
Corporate Bonds &#151; 104.5%</B></FONT></DIV>

</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,783,122,533</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Floating Rate Loan Interests (d)</B></FONT></DIV>

</FONT>

</FONT>  <FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Air Freight &amp; Logistics &#151; 0.2%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CEVA Group PLC, Synthetic Line of Credit, 6.50%, 3/19/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,149</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,108,486</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,208</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,179,874</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">208</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">203,427</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CEVA Logistics U.S. Holdings, Inc., Term Loan, 6.50%, 3/19/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,667</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,627,412</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,119,199</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Airlines &#151; 0.9%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,355</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,332,041</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Northwest Airlines, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">2.18%, 3/10/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,315</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,169,162</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">1.56%, 9/10/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,307</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,965,484</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">14,466,687</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Auto Components &#151; 0.6%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Gates Global, Inc., Term Loan B, 4.25%, 7/05/21</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,030</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,943,304</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE>
<!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">
<!-- agabop mode="frill" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">35<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 23 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 24 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Consolidated Schedule of Investments (continued)</FONT><FONT
color=gray STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Corporate High
Yield Fund, Inc. (HYT)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM"></FONT><TD STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Floating
     Rate Loan Interests (d)</B></FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Building Products &#151; 0.1%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Wilsonart LLC, Term Loan B, 4.00%, 10/31/19</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,315</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;2,283,896</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Capital Markets &#151; 0.3%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Affinion Group, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">2nd Lien Term Loan, 8.50%, 10/12/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,300</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,279,300</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Term Loan B, 6.75%, 4/30/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">197,505</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,983</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,968,448</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,445,253</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Chemicals &#151; 0.1%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">297</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">295,043</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">OXEA Finance LLC, 2nd Lien Term Loan, 8.25%, 7/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,615</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,617,697</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,912,740</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Commercial Services &amp; Supplies &#151; 0.3%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Brand Energy &amp; Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,446</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,444,230</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">838</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">841,706</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,633</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,610,823</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,896,759</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Communications Equipment &#151; 1.0%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Amaya Holdings BV:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">1st Lien Term Loan, 5.00%, 8/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,465</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,440,966</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">2nd Lien Term Loan, 8.00%, 8/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,880,784</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,981</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,950,643</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">16,272,393</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Construction Materials &#151; 0.3%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">HD Supply, Inc., Term Loan B, 4.00%, 6/28/18</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,827</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,800,237</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Containers &amp; Packaging &#151; 0.0%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Tekni-Plex, Inc., Term Loan B, 4.75%, 8/25/19</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">383</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">381,157</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Diversified Telecommunication Services &#151; 0.3%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Hawaiian Telcom Communications, Inc., Term<BR> Loan B, 5.00%, 6/06/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,962</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,974,665</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Level 3 Financing, Inc., 2019 Term Loan, 4.00%, 8/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,785</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,776,450</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,751,115</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Electric Utilities &#151; 0.5%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">American Energy &#151; Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,919</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,920,425</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">American Energy &#151; Utica LLC, 2nd Lien Term Loan, 5.50%, 9/30/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,775</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,178,983</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sandy Creek Energy Associates LP, Term Loan B, 5.00%, 11/06/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,168</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,173,389</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,272,797</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Electrical Equipment &#151; 0.3%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Texas Competitive Electric Holdings Co. LLC, DIP Term
                                         Loan, 3.75%, 5/05/16</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,613</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,645,863</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Energy Equipment &amp; Services &#151; 0.1%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">995</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">993,090</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Food &amp; Staples Retailing &#151; 0.0%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">600</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">606,498</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Health Care Providers &amp; Services &#151; 0.3%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,616</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,623,315</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Genesis HealthCare Corp., Term Loan B, 10.00%, 9/25/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,235</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,253,846</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 7/09/20 (k)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">966</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">964,926</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,842,087</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>
<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Floating
     Rate Loan Interests (d)</B></FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; padding-top: 6; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Hotels, Restaurants &amp; Leisure &#151; 4.0%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Bally Technologies, Inc., Term Loan B, 4.25%, 11/25/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,903</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;1,899,242</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,336</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,318,452</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,186</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,193,972</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Caesars Entertainment Operating Co., Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Extended Term Loan B6, 6.95%, 3/01/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,749</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,323,721</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Term Loan B7, 9.75%, 3/01/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,803</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,570,644</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/12/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,397</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,240,913</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Diamond Resorts Corporation, Term Loan, 5.50%, 5/09/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,875</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,889,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ESH Hospitality, Inc., Term Loan, 5.00%, 6/24/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,410</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,422,337</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,241</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,219,659</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">La
                                         Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,545</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,536,120</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">MGM Resorts International, Term Loan B, 3.50%, 12/20/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,774</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,761,914</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,438</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,425,399</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Playa Resorts Holding BV, Term Loan B, 4.00%, 8/06/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,578</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,560,073</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Station Casinos LLC, Term Loan B, 4.25%, 3/02/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,920</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,900,277</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 6.00%, 9/02/21 (k)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,980</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,009,107</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Travelport LLC/Travelport Holdings, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">2nd Lien PIK Term Loan 2, 4.00%, 12/01/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,558</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,557,551</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">2nd Lien Term Loan 1, 9.50%, 1/29/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">547</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">557,224</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Refinancing Term Loan, 6.25%, 6/26/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,267</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,285,702</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">68,671,682</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Independent Power and Renewable Electricity Producers &#151; 0.2%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Energy Future Intermediate Holding Co LLC, DIP Term Loan,
                                         4.25%, 6/19/16</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,730</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,732,730</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Industrial Conglomerates &#151; 0.4%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Sequa Corp., Term Loan B, 5.25%, 6/19/17</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,384</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,244,162</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Insurance &#151; 0.1%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Alliant Holdings I, Inc., Term Loan B, 4.25%, 12/20/19</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,654</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,643,914</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Internet Software &amp; Services &#151; 0.2%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,650</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,659,125</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>IT Services &#151; 1.0%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ceridian LLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Term Loan B1, 4.16%, 5/09/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">806</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">804,636</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Term Loan B2, 4.50%, 9/14/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">841</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">839,662</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">First Data Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">2018 Extended Term Loan, 3.66%, 3/23/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">15,480</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">15,305,850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">2018 Term Loan, 3.66%, 9/24/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">198,188</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">17,148,336</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Machinery &#151; 1.3%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Gardner Denver, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.25%, 7/30/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,253</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,240,169</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.75%, 7/30/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,421</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,779,347</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Hillman Group Inc. (The), Term Loan B, 4.50%, 6/30/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">425</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">424,821</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,894</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,873,694</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,139</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,133,442</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">21,451,473</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
<!-- table_boopfix mode="frill" -->
</TR>
</TABLE>
<!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">
<!-- agabop mode="frill" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">36</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 24 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 25 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Consolidated Schedule of Investments (continued)</FONT><FONT
color=gray STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Corporate High
Yield Fund, Inc. (HYT)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt"><TR VALIGN="BOTTOM"></FONT><TD STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Floating
                                         Rate Loan Interests (d)</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Media &#151; 1.0%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Cengage Learning Acquisitions, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">0.00%, 7/03/15 (a)(h)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,469</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;1</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.00%, 3/31/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,120</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,150,711</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Charter Communications Operating LLC, Term Loan G, 4.25%, 7/24/21 (k)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,030</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,052,689</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Clear Channel Communications, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Term Loan B, 3.81%, 1/29/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">747</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">741,681</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Term Loan D, 6.91%, 1/30/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,098</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,035,163</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Getty Images, Inc., Term Loan B, 4.75%, 10/18/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">75</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">70,926</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,488</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,496,811</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Tribune Co., 2013 Term Loan, 4.00%, 12/27/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">225</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">224,935</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">17,772,917</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Metals &amp; Mining &#151; 0.3%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">FMG Resources (August 2006) Property Ltd., Term Loan
                                         B, 3.75%, 6/30/19</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,520</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,500,893</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Multiline Retail &#151; 0.3%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">BJ&#146;s Wholesale Club, Inc., 2nd Lien Term Loan, 8.50%, 3/26/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,065</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,075,117</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">J.C. Penney Corporation, Inc., New Term Loan, 5.00%, 6/20/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">949,288</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,595</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,573,956</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,598,361</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Oil, Gas &amp; Consumable Fuels &#151; 0.2%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,711</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,663,612</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,093</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,097,939</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,761,551</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Pharmaceuticals &#151; 0.7%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Grifols Worldwide Operations USA, Inc., Term Loan B, 3.16%, 2/27/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,773</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,736,667</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Mallinckrodt International Finance SA, Term Loan B, 3.50%, 3/19/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,815</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,806,826</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Par Pharmaceutical Cos, Inc., Term Loan B2, 4.00%, 9/30/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,940</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,905,748</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,377</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,375,619</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,824,860</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Professional Services &#151; 0.3%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Advantage Sales &amp; Marketing, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">1st Lien Term Loan, 4.25%, 7/23/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,645</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,628,052</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">2nd Lien Term Loan, 7.50%, 7/25/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,495</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,495,524</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Delayed Draw Term Loan, 0.50%, 7/23/21 (k)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">55</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">54,268</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,177,844</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Real Estate Management &amp; Development &#151; 0.0%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Realogy Corp., Extended Letter of Credit, 4.40%, 10/10/16</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">230</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">228,456</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Semiconductors &amp; Semiconductor Equipment &#151; 0.3%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,075</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,066,931</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Software &#151; 0.4%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">744</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">741,655</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">GCA Services Group, Inc., 2nd Lien Term Loan, 9.25%, 10/22/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">260</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">260,434</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Infor US, Inc., Term Loan B5, 3.75%, 6/03/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,720</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,696,423</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,445</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,530,750</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,229,262</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Textiles, Apparel &amp; Luxury Goods &#151; 0.4%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Ascend Performance Materials LLC, Term Loan B, 6.75%,
                                         4/10/18</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,134</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,041,805</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Total Floating Rate Loan Interests &#151; 16.4%</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">279,387,377</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE>
<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD COLSPAN="8" STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Non-Agency
     Mortgage-Backed Securities</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="2" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Collateralized Mortgage Obligations &#151; 0.2%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Hilton USA Trust, Series 2013-HLT, Class EFX, 5.61%,
                                         11/05/30 (c)(d)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,829</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;3,917,484</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Other Interests (l)</B><BR></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="CENTER" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>Beneficial</B><BR><B> Interest</B><BR><B>(000)</B><BR></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Auto Components &#151; 0.0%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Lear Corp. Escrow</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,250</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,938</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Media &#151; 0.0%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Adelphia Escrow (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">40</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Adelphia Recovery Trust (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,017</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,508</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,548</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Total Other Interests &#151; 0.0%</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">13,486</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Preferred Securities</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000</B></FONT></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Capital Markets &#151; 0.4%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">The Goldman Sachs Group, Inc., Series L, 5.70% (d)(g)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,978</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,171,305</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Diversified Financial Services &#151; 1.4%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Bank of America Corp. (d)(g):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series U, 5.20%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,165</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,122,769</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series V, 5.13%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,620</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,562,002</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Barclays PLC, 8.00% (d)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">985</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,397,927</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Citigroup, Inc., Series D, 5.35% (d)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,055</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,007,387</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">JPMorgan Chase &amp; Co. (d)(g):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series Q, 5.15%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">827,688</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series U, 6.13%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,228</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,323,130</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series V, 5.00%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,615</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,568,148</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Morgan Stanley, Series H, 5.45% (d)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,815</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,899,262</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">24,708,313</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Total Capital Trusts &#151; 1.8%</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">30,879,618</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Preferred Stocks</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Shares</B></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Capital Markets &#151; 0.4%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">RBS Capital Funding Trust, Series F, 6.25%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">93,975</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,277,954</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">RBS Capital Funding Trust VII, 6.08%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">152,071</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,656,159</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">State Street Corp., Series D, 5.90% (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">20,889</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">545,203</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,479,316</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Diversified Finance Services &#151; 0.1%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Ally Financial, Inc., Series A, 8.50% (d)(g)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">41,694</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,136,995</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Media &#151; 0.0%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Emmis Communications Corp., Series A, 6.25%</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,300</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">151,925</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Oil, Gas &amp; Consumable Fuels &#151; 0.4%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Chesapeake Energy Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75% (e)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,151</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,358,733</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75% (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,182</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,431,698</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,790,431</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Real Estate Management &amp; Development &#151; 0.1%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Concrete Investments II, 0.00%</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,997</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,011,134</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Software &#151; 1.3%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Amaya Gaming Group, Inc., 0.00%</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">19,851</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">22,866,140</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Total Preferred Stocks &#151; 2.3%</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">38,435,941</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE>
<!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">
<!-- agabop mode="frill" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">37<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 25 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 26 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Consolidated Schedule of Investments (continued)</FONT><FONT
color=gray STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Corporate High
Yield Fund, Inc. (HYT)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Trust
     Preferred</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Diversified Financial Services &#151; 0.5%</B></FONT></DIV>

</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">GMAC Capital Trust I, Series 2, 8.13% (d)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">301,466</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;8,074,489</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="13" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total
Preferred Securities &#151; 4.6%</B></FONT></DIV>

</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">77,390,048</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Warrants (m)</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>&nbsp;</B>&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Shares</B></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Media &#151; 0.0%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">New Vision Holdings LLC (Expires 9/30/14)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">89,790</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,857</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Metals &amp; Mining &#151; 0.0%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Peninsula Energy Ltd. (Expires 12/31/15)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">31,614,557</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">275,843</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Software &#151; 0.0%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19
                                         Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,494</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">30,206</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Total Warrants &#151; 0.0%</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">310,906</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="13" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 0px; text-indent: 0px"><FONT STYLE="font-size: 8pt"><B>Total Long-Term Investments</B><BR><B> (Cost &#151; $2,319,988,972) &#151; 139.8%</B></FONT></DIV>

</FONT> <DIV STYLE="margin-left: 0px; text-indent: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV>

</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,383,983,860</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE>

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2">&nbsp;</FONT></P>
<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Short-Term
                                 Securities</B></FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT> </FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">BlackRock Liquidity Funds, TempFund, Institutional Class,
                                         0.03% (n)(o)</FONT></DIV></FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; width: 3%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid; width: 12%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,602,081</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; width: 3%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; width: 3%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid; width: 12%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,602,081</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; width: 3%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV><FONT STYLE="font-size: 8pt"><B>Total Short-Term Securities</B><BR><B> (Cost &#151;
                                         $3,602,081) &#151; 0.2%</B></FONT></DIV></FONT></TD>
    <TD STYLE="margin-left: 6px; text-indent: -6px; border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="margin-left: 6px; text-indent: -6px; border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="margin-left: 6px; text-indent: -6px; border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,602,081</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="text-indent: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE STYLE="color: gray; margin-top: 12pt"></FONT></DIV>

</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Options Purchased</B></FONT></DIV></FONT></TD>
    <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>&nbsp;</B>&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>(Cost &#151;$38,133) &#151; 0.0%</B></FONT></DIV></FONT></TD>
    <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left"><DIV STYLE="margin-left: 0px; text-indent: 0px"><FONT STYLE="font-size: 8pt"><B>Total Investments</B><BR><B> (Cost &#151; $2,323,629,186) &#151; 140.0%</B></FONT></DIV>

</FONT> <DIV STYLE="margin-left: 0px; text-indent: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV>

</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,387,585,941</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Liabilities
in Excess of Other Assets &#151; (40.0)%</B></FONT></DIV>

</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(682,163,841</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Net Assets &#151; 100.0%</B></FONT></DIV></FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,705,422,100</FONT></TD>
     <TD STYLE="border-bottom: windowtext 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE>
<!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">
<P STYLE="text-align: left"><FONT STYLE="font: x-small Arial, Helvetica, sans-serif"><DIV ALIGN="LEFT"></FONT></DIV></P>
<P STYLE="text-align: left; color: gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; border-bottom: Black 1pt solid;
background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Notes to Schedule of Investments</FONT></B></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(a)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Non-income producing security.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(b)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Security is held by a wholly owned subsidiary.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(c)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold
in transactions exempt from registration to qualified institutional investors.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(d)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Variable rate security. Rate shown is as of report date.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(e)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Convertible security.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(f)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the
current rate and possible payment rates.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(g)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Security is perpetual in nature and has no stated maturity date.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(h)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(i)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Zero-coupon bond.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(j)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following
periods. Rate shown is as of report date.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(k)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">When-issued security. Unsettled when-issued transactions were as follows:</DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: Black; margin-top: 6pt; margin-bottom: 0pt"> <TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" NOWRAP ALIGN="LEFT" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Counterparty</B></B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Value</B></B></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Unrealized<BR> Appreciation<BR>
(Depreciation)</B></B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Deutsche Bank Securities, Inc. </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,009,107</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">116,357</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Goldman Sachs &amp; Co. </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,052,689</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">42,839</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Jefferies Co. </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">964,926</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,623</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Merrill Lynch, Pierce, Fenner &amp; Smith, Inc. </DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">54,268</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(433</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(l)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-bottom: 6pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-bottom: 6pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-bottom: 6pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Other interests represent beneficial interests in liquidation trusts and other reorganization
                                         or private entities.</FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(m)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-bottom: 6pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-bottom: 6pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-bottom: 6pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Warrants entitle the Trust to purchase a predetermined number of shares of common stock and
                                         are non-income producing. The purchase price and number of shares are subject to adjustment
                                         under certain conditions until the expiration date, if any.</FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(n)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-bottom: 6pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-bottom: 6pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; padding-bottom: 6pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Investments in issuers considered to be an affiliate of the Trust during the year ended August
                                         31, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:</FONT></DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Affiliate<BR></B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;&nbsp;&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT"
></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Shares<BR> Held at<BR> August 31,
2013</B></B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;&nbsp;&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Net Activity</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;&nbsp;&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Shares<BR> Held at<BR> August 31,
2014</B></B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;&nbsp;&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Income</B></B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;&nbsp;&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-size: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BlackRock Liquidity Funds, TempFund, Institutional Class  </DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-size: 8pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-size: 8pt">1,737,587</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-size: 8pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-size: 8pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-size: 8pt">1,864,494</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-size: 8pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-size: 8pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-size: 8pt">3,602,081</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-size: 8pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-size: 8pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-size: 8pt">987</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-size: 8pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
</TR></TABLE>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(o)</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Represents the current yield as of report date.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Financial futures contracts outstanding as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: Black; margin-top: 6pt; margin-bottom: 0pt"> <TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="5%" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Contracts<BR>Sold</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Issue</B></B></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Exchange</B></B></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-right: 12pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Expiration</B></B></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="7" NOWRAP STYLE="width: 5%; border-bottom: Black 1pt solid; text-align: center; padding-right: 24pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Notional<BR>
Value</B></B></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Unrealized<BR>
Depreciation</B></B></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="RIGHT" WIDTH="5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(662)</FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" style='border-bottom: solid windowtext 1pt' nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">S&amp;P 500 E-Mini Index</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Chicago Mercantile</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid; padding-right: 12pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">September 2014</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="5%" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">USD</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">66,246,340</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(886,781</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TR></TABLE>
<!-- agabop mode="ep" last-style="table" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">38</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 27 -->
<DIV align=left>
<!-- agabop mode="main" last-style="table" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Consolidated Schedule of Investments (continued)</FONT><FONT
color=gray STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Corporate High
Yield Fund, Inc. (HYT)<BR>&nbsp;<BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Forward foreign currency exchange contracts outstanding as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<HR SIZE="2" NOSHADE ALIGN="LEFT" STYLE="color: Black; margin-top: 6pt; margin-bottom: 0pt">



<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"></FONT></P>

<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP COLSPAN="2" STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Currency Purchased</B></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B><B>Currency<BR> Sold</B></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Counterparty</B></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Settlement<BR> Date</B></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B><B>Unrealized<BR> Appreciation<BR> (Depreciation)</B></B></FONT> <FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">EUR</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">229,000</FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">304,213</FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Citibank N.A.</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/21/14</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(3,230</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">EUR</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">600,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">802,889</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Goldman Sachs Bank USA</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/21/14</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(14,286</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">EUR</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,050,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,399,262</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Goldman Sachs Bank USA</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/21/14</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(19,206</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">EUR</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">90,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">120,103</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">State Street Bank and Trust Co.</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/21/14</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(1,812</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">EUR</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,981,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,652,398</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">State Street Bank and Trust Co.</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/21/14</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(48,694</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">EUR</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">800,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,068,796</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Toronto &#151;Dominion Bank</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/21/14</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(17,325</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">EUR</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">900,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,205,825</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">UBS AG</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/21/14</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(22,921</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">GBP</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">310,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">516,918</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Citibank N.A.</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/21/14</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(2,471</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">GBP</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">830,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,397,556</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">JPMorgan Chase Bank N.A.</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/21/14</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(20,167</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">GBP</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">70,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">117,893</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Royal Bank of Scotland PLC</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/21/14</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(1,728</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">GBP</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">260,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">432,450</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">State Street Bank and Trust Co.</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/21/14</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(979</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">GBP</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">300,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">505,665</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">The Bank of New York Mellon</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/21/14</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(7,813</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">726,096</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">AUD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">781,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank AG</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/21/14</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(857</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,378,698</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">CAD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,610,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Goldman Sachs Bank USA</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/21/14</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(19,029</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">24,413,429</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">CAD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">26,710,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Toronto &#151;Dominion Bank</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/21/14</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(124,229</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">23,007,275</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">CAD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">24,783,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">UBS AG</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/21/14</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">239,893</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,053,819</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">EUR</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">779,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Bank of America N.A.</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/21/14</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">29,949</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">138,701</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">EUR</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">103,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Bank of America N.A.</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/21/14</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,324</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">169,836,971</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">EUR</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">125,529,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Citibank N.A.</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/21/14</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,849,397</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">18,888</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">EUR</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">14,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Citibank N.A.</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/21/14</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">487</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">73,806,865</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">GBP</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">43,195,000</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Bank of America N.A.</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">10/21/14</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">2,124,543</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: windowtext 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">6,942,846</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TABLE>
<P STYLE="text-align: left"><FONT STYLE="font: x-small Arial, Helvetica, sans-serif"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">OTC
options purchased as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: left; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Description<BR></B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT"
></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Counterparty</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="width: 2%; text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Put/<BR> Call</B></B><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="width: 6%; text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Strike<BR>
Price</B></B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Expiration<BR> Date</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="width: 7%; text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Contracts</B></B><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Market<BR> Value</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; width: 100%; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Marsico Parent Superholdco LLC</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Goldman Sachs &amp; Co.</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; width: 2%; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Call</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: left; width: 6%; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">USD &nbsp;942.86</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">12/14/19</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; width: 7%; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">39</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">OTC
credit default swaps &#151; sold protection outstanding as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"></P>

<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="text-align: left; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Issuer</B></FONT><BR><HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: #000000"></TD>
    <TD STYLE="border-top: Black 1pt solid">&nbsp;<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: #000000"></TD>
    <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Receive</B></FONT><BR>
<FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Fixed</B></FONT><BR><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B> Rate</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    <TD STYLE="text-align: center; border-top: Black 1pt solid">&nbsp;<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: #000000"></TD>
    <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Counterparty</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    <TD STYLE="text-align: center; border-top: Black 1pt solid">&nbsp;<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: #000000"></TD>
    <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Expiration</B></FONT><BR>
<FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Date</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    <TD STYLE="text-align: center; border-top: Black 1pt solid">&nbsp;<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: #000000"></TD>
    <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Credit</B></FONT><BR>
<FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Rating<SUP>1</SUP></B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    <TD STYLE="text-align: center; border-top: Black 1pt solid">&nbsp;<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: #000000"></TD>
    <TD NOWRAP COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Notional</B></FONT><BR>
<FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Amount</B></FONT><BR><FONT STYLE="font-size: 8pt"> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(000)<SUP>2</SUP></B></FONT></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    <TD STYLE="text-align: center; border-top: Black 1pt solid">&nbsp;<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: #000000"></TD>
    <TD NOWRAP COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Market</B></FONT><BR>
<FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Value</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    <TD STYLE="text-align: center; border-top: Black 1pt solid">&nbsp;<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: #000000"></TD>
    <TD NOWRAP COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Premiums</B></FONT><BR>
<FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Paid</B></FONT><BR><FONT STYLE="font-size: 8pt"> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(Received)</B></FONT></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
    <TD STYLE="border-top: Black 1pt solid">&nbsp;<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: #000000"></TD>
    <TD STYLE="text-align: center; border-top: Black 1pt solid">&nbsp;<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: #000000"></TD>
    <TD NOWRAP COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Unrealized</B></FONT><BR>
<FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Appreciation</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">CCO Holdings LLC</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">8.00%</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Deutsche Bank AG</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">9/20/17</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">B</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">8,180</FONT></TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">1,627,373</FONT></TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&#151;</FONT></TD>
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">1,627,373</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Trionista Holdco GmbH</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">5.00%</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Citibank N.A.</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">3/20/19</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">B+</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">340</FONT></TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">48,723</FONT></TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">33,417</FONT></TD>
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">15,306</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Trionista Holdco GmbH</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">5.00%</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Citibank N.A.</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">3/20/19</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">B+</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">363</FONT></TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">52,056</FONT></TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">36,233</FONT></TD>
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">15,823</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Trionista Holdco GmbH</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">5.00%</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Citibank N.A.</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">3/20/19</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">B+</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">363</FONT></TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">52,056</FONT></TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">43,155</FONT></TD>
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">8,901</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Trionista Holdco GmbH</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">5.00%</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Citibank N.A.</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">3/20/19</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">B+</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">363</FONT></TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">52,056</FONT></TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">43,819</FONT></TD>
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">8,237</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Level 3 Communications, Inc.</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">5.00%</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Goldman Sachs International</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">6/20/19</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">B+</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">5,000</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">613,269</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(368,840</FONT></TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">)&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">982,109</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 0px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Total</B></FONT><BR></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; text-indent: 0px">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">2,445,533</FONT></TD>
    <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(212,216</FONT></TD>
    <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">)&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">2,657,749</FONT></TD></TR>
</TABLE>

&nbsp;

<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; text-align: right; width: 6%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>1</SUP></FONT></TD>
     <TD STYLE="width: 1%; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 93%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Using S&amp;P&#146;s rating of the
issuer.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: left; text-align: right; width: 6%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>2</SUP></FONT></TD>
     <TD STYLE="width: 1%; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 93%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">The maximum potential amount the Trust may pay
should a negative credit event take place as defined under the terms of the agreement.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>


<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">For
Trust compliance purposes, the Trust&#146;s industry classifications refer to any one or more of the industry sub-classifications used by one or more
widely recognized market indexes or rating group indexes, and/or as defined by investment advisor. These definitions may not apply for purposes of this
report, which may combine such industry sub-classifications for reporting ease.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Fair
Value Measurements &#151; Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to
valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as
follows:</DIV></FONT></TD>
</TABLE>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&#149;</TD>
     <TD STYLE="padding-top: 6pt; text-align: left; padding-left: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Level 1 &#151; unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to
access</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"></FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&#149;</TD>
     <TD COLSPAN="1" STYLE="padding-top: 6pt; text-align: left; padding-left: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Level 2 &#151; other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active,
quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for
the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or
other market-corroborated inputs)</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"></FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&#149;</TD>
     <TD COLSPAN="1" STYLE="padding-top: 6pt; text-align: left; padding-left: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Level 3 &#151; unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available
(including the Trust&#146;s own assumptions used in determining the fair value of investments and derivative financial instruments)</DIV></FONT></TD>
</TABLE>

<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">The
hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the
lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for
instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases,
for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value
measurement in its entirety.</DIV></FONT></TD>
<!-- table_boopfix mode="frill" -->
</TR>
</TABLE>
<!-- agabop mode="frill" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">39<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 27 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 28 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Consolidated Schedule of Investments (continued)</FONT><FONT
color=gray STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Corporate High
Yield Fund, Inc. (HYT)<BR>&nbsp;<BR></FONT></B></TD></TR></TABLE></DIV>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt"></TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the
Trust&#146;s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the
reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of
the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For
information about the Trust&#146;s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes
to Financial Statements.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">The
following tables summarize the Trust&#146;s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31,
2014:</DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: Black; margin-top: 6pt; margin-bottom: 0pt"> <TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="60%" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 1</B></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 2</B></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 3</B></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Total</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Assets:<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Investments:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Long-Term Investments:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Common Stocks </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">127,562,847</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">29,597,540</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">56,896,277</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">214,056,664</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Asset-Backed Securities </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">19,010,306</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,775,056</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">25,785,362</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Corporate Bonds </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,753,987,515</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">29,135,018</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,783,122,533</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Floating Rate Loan Interests </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">241,158,034</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">38,229,343</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">279,387,377</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Non-Agency Mortgage-Backed Securities </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,917,484</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,917,484</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Other Interests </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,508</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">10,978</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">13,486</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Preferred Securities </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">21,201,458</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">55,177,456</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,011,134</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">77,390,048</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Warrants </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">187,367</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">118,682</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,857</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">310,906</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Short-Term Securities </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">3,602,081</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">3,602,081</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Total<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">152,553,753</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">2,102,969,525</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">132,062,663</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">2,387,585,941</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>

<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="60%" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 1</B></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 2</B></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 3</B></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Total</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Derivative Financial Instruments<SUP>1</SUP><BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Assets:<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Credit contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,657,749</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,657,749</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Foreign currency exchange contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,247,593</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,247,593</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Liabilities:<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Equity contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(886,781</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(886,781</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Foreign currency exchange contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(304,747</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(304,747</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Total<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;(886,781</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;9,600,595</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;8,713,814</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">&nbsp;</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Derivative financial instruments are swaps,
financial futures contracts, and forward foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the
instrument.</FONT></TD>
</TR>
</TABLE>

<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">The
Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31,
2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: Black; margin-top: 6pt; margin-bottom: 0pt"> <TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="60%" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 1</B></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 2</B></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 3</B></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Total</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Assets:<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Cash pledged as collateral for OTC derivatives </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,970,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,970,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Cash pledged for financial futures contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,198,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,198,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Foreign currency at value </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">529,079</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">529,079</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Liabilities:<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Bank borrowings payable </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(723,000,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(723,000,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Bank overdraft </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(224,629</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(224,629</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Cash received as collateral for OTC derivatives </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(2,700,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(2,700,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Total<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;5,697,079</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;(725,924,629</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;(720,227,550</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="color: White"><B>Total</B><BR></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="color: White">&nbsp;</FONT></TD>
     <TD><FONT STYLE="color: White">&nbsp;</FONT></TD>
     <TD><FONT STYLE="color: White">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">152,553,753</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;</FONT></TD>
     <TD><FONT STYLE="color: White">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">2,102,969,525</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;</FONT></TD>
     <TD><FONT STYLE="color: White">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">132,062,663</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;</FONT></TD>
     <TD><FONT STYLE="color: White">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">2,387,585,941</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif; color: White">&nbsp;</FONT></TD>
</TABLE>
<!-- agabop mode="ep" last-style="table" -->
<P style="top-margin:0;" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">40</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 28 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 29 -->
<DIV align=left>
<!-- agabop mode="main" last-style="table" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Consolidated Schedule of Investments (continued)</FONT><FONT
color=gray STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Corporate High
Yield Fund, Inc. (HYT)<BR>&nbsp;<BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">A
reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments
and derivative financial instruments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of
Level 3 investments for which significant unobservable inputs were used in determining fair value:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: Black; margin-top: 6pt; margin-bottom: 0pt"> <TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="20%" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif"><B>Common</B></FONT><FONT STYLE="font-size: 7pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Stocks</B></FONT></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif"><B>Asset-Backed</B></FONT><FONT STYLE="font-size: 7pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Securities</B></FONT></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif"><B>Corporate</B></FONT><FONT STYLE="font-size: 7pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Bonds</B></FONT></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif"><B>Floating</B></FONT><FONT STYLE="font-size: 7pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Rate Loan</B></FONT><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Interests</B></FONT></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif"><B>Other</B></FONT><FONT STYLE="font-size: 7pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Interests</B></FONT></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif"><B>Preferred</B></FONT><FONT STYLE="font-size: 7pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Securities</B></FONT></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif"><B>Warrants</B></FONT></TD>
     <TD ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif"><B>Total</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="20%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 7pt"><B>Assets:</B><BR></FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="20%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 7pt">Opening Balance, as of August 31, 2013</FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">7,608,130</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">2,824,497</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">3,673,915</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">13,072,578</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">71</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">66,028</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">27,245,219</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="20%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 7pt">Transfers into Level 3<SUP>1</SUP></FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">1,453,195</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">1,453,195</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="20%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 7pt">Transfers out of Level&nbsp;3<SUP>2</SUP></FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">(343,980</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">(2,251,497</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">(2,939,292</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">(24,750</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">(5,559,519</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="20%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 7pt">Accrued discounts/premiums</FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">4,947</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">4,941</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">309,165</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">319,053</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="20%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 7pt">Net realized gain
                                  (loss)</FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">101,809</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">56,314</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">247,876</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">267,182</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">805</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">673,986</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="20%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 7pt">Net change in unrealized
                                  appreciation/ depreciation<SUP>3,4</SUP></FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">(16,292,941</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">1,838</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">(8,532,758</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">994,223</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">10,637</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">(4,271</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">(59,239</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">(23,882,511</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="20%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 7pt">Purchases<SUP>5</SUP></FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">79,917,869</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">8,047,835</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">36,555,676</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">39,840,744</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">270</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">1,015,405</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">22,818</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">165,400,617</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="20%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 7pt">Sales</FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">(14,094,610</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt' nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">(1,908,878</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">(2,814,632</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">(14,768,452</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">(805</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">(33,587,377</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="20%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 7pt"><B>Closing Balance, as of August 31, 2014</B><BR></FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">56,896,277</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid' nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">6,775,056</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">29,135,018</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">38,229,343</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">10,978</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">1,011,134</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">4,857</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">132,062,663</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="20%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 7pt">Net change in unrealized
                                  appreciation/depreciation on investments still held at August 31, 2014<SUP>4</SUP></FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">(15,220,940</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid' nowrap><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">1,838</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">(8,438,141</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">1,071,903</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">10,695</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">(4,271</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">(59,239</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 7pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">(22,638,155</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 7pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">As of August 31, 2013, the Trust used significant
observable inputs in determining the value of certain investments. As of August 31, 2014, the Trust used unobservable inputs in determining the value
of the same investments. As a result, investments with a beginning of period value of $1,453,195, transferred from Level 2 to Level 3 in the disclosure
hierarchy.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">As of August 31, 2013, the Trust used significant
unobservable inputs in determining the value of certain investments. As of August 31, 2014, the Trust used observable inputs in determining the value
of the same investments. As a result, investments with a beginning of period value of $5,215,538 transferred from Level 3 to Level 2 and $343,980
transferred from Level 3 to Level 1 in the disclosure hierarchy.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Included in the related net change in unrealized
appreciation/depreciation in the Consolidated Statement of Operations.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>4</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Any difference between Net change in unrealized
appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments held as of August 31, 2014 is generally due to
investments no longer held or categorized as Level 3 at period end.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>5</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Includes investments acquired in the
reorganization.</FONT></TD>
</TR>
</TABLE>

<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">The
following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used in determining fair
value:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: Black; margin-top: 6pt; margin-bottom: 0pt"> <TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Credit<BR> Contracts</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Assets:<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Opening Balance, as of August 31, 2013 </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">607,499</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Transfers into Level 3 </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Transfers out of Level 3<SUP>6</SUP> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(490,360</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Accrued discounts/premiums </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net realized gain (loss) </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net change in unrealized appreciation/depreciation<SUP>7</SUP> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(117,139</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Purchases </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Issues </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Sales </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Settlements </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: Black 1pt solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Closing Balance, as of August 31, 2014<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 2px'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 2px'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 2px'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net change in unrealized appreciation/depreciation on investments still held at August 31, 2014<SUP>4</SUP> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 2px'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 2px'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 2px'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>6</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">As of August 31, 2013, the Trust used significant
unobservable inputs in determining the value of certain investments. As of August 31, 2014, the Trust used observable inputs in determining the value
of the same investments. As a result, investments with a beginning of period value of $490,360 transferred from Level 3 to Level 2 in the disclosure
hierarchy.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>7</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Included in the related net change in unrealized
appreciation/depreciation in the Consolidated Statement of Operations.</FONT></TD>
</TR>
</TABLE>

<!-- agabop mode="ep" last-style="soi_footnote2" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">41<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV align=left>
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<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (concluded)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Corporate High
Yield Fund, Inc. (HYT)<BR>&nbsp;<BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">The
following table summarizes the valuation techniques used and unobservable inputs developed by the Global Valuation Committee to determine the value of
certain of the Trust&#146;s Level 3 investments and derivative financial instruments as of August 31, 2014. The table does not include Level 3
investments and derivative financial instruments with values derived based upon unadjusted third party pricing information. A significant change in
third party pricing information could result in a significantly lower or higher value of such Level 3 investments and derivative financial instruments.
The value of Level 3 investments and derivative financial instruments derived using third party pricing information is $78,597,812.</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; font-size: 8pt; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD>
    <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; font-size: 8pt; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Valuation Techniques</B></FONT></TD>
    <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; font-size: 8pt; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Unobservable Inputs</B></FONT></TD>
    <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; font-size: 8pt; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Range of</B></FONT><BR><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B> Unobservable</B></FONT><BR>
<FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Inputs Utilized</B></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt"><B>Assets:</B></FONT><BR></TD>
    <TD NOWRAP STYLE="width: 2%">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 2%; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right; width: 12%">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 2%; text-align: left">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 2%">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="width: 2%">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="width: 2%">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Common Stocks</FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;$</FONT></TD>
    <TD NOWRAP STYLE="text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">12,626,410</FONT></TD>
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Market Comparable Companies</FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">2P (Proved and Probable) Reserves</FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">+2C (Contingent) Resources Multiple<SUP>3,4</SUP></FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: center; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">CAD<SUP>6</SUP> 0.38x-0.60x</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">PV-10 Multiple<SUP>3</SUP></FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: center; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">0.16x-0.28x</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">17,637,548</FONT></TD>
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Market Comparable Companies</FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Fleet Value Multiple</FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: center; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">1.10x</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">10,677,197</FONT></TD>
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Market Comparable Companies</FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Offshore Last 12 Months EBITDA Multiple<SUP>3</SUP></FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: center; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">6.19x</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Offshore Current Fiscal Year EBITDA Multiple<SUP>3</SUP></FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: center; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">7.25x</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Onshore Last 12 Months EBITDA Multiple<SUP>3</SUP></FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: center; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">5.18x</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Onshore Current Fiscal Year EBITDA Multiple<SUP>3</SUP></FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: center; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">4.75x</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Discounted Operations Expected Sales Proceeds</FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: center; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">$150<SUP>7</SUP></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">2,483,215</FONT></TD>
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Cost<SUP>2</SUP></FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">N/A</FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: center; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Corporate Bonds<SUP>1</SUP></FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">2,800,000</FONT></TD>
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Cost<SUP>2</SUP></FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">N/A</FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: center; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">4,906,200</FONT></TD>
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Discounted Cash Flow</FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Internal Rate of Return<SUP>5</SUP></FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: center; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">10.00%</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">2,329,424</FONT></TD>
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Par</FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Call Price<SUP>3</SUP></FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: center; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">&#151;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Warrant</FONT></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">4,857</FONT></TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Estimated Recovery Value</FONT></TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">Distribution Rate<SUP>5</SUP></FONT></TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt">$0.0541</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="text-align: left; text-indent: 0px; font-size: 8pt"><FONT STYLE="font-size: 8pt"><B>Total</B></FONT><BR></TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;$</FONT></TD>
    <TD NOWRAP STYLE="text-align: right; border-bottom: Black 2px solid; font-size: 8pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">53,464,581</FONT></TD>
    <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD></TR>
</TABLE>




<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">For the year ended August 31, 2014, the valuation
technique for certain investments classified as corporate bonds changed to utilizing par value or an income approach. Market information previously
utilized to determine fair value under the market approach no longer applied to these investments; therefore, the par value or income approach is
considered to be a more relevant measure of fair value for these investments.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">The Trust fair values certain of its Level 3
investments using acquisition cost, although the transaction may not have occurred during the current reporting period. These investments are generally
privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such
investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global
Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be
adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the
private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the
investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact
that comparable public companies are not identical to the investments being fair valued by the Trust.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Increase in unobservable input may result in a
significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>4</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Present value of estimated future oil and gas
revenues, net of estimated direct expenses discounted at an annual discount of 10%.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>5</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Decrease in unobservable input may result in a
significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>6</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Canadian Dollar.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>7</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Amount is stated in millions.</FONT></TD>
</TR>
</TABLE>
<!-- agabop mode="ep" last-style="soi_footnote2" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">42</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 30 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 31 -->


<!-- Field: Split-Segment; Name: soi2 -->



<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote2" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments</FONT><FONT color=gray STYLE="font-size:
10pt">&nbsp;August 31, 2014</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income
Opportunity Trust, Inc. (BNA)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Asset-Backed
     Securities</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="9" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Asset-Backed Securities &#151; 6.3%</B></FONT></DIV>

 </FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">AmeriCredit Automobile Receivables Trust, Series 2011-5, Class C, 3.44%, 10/08/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;409,335</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Apidos CDO XI, Series 2012-11A, Class D, 4.48%, 1/17/23 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">599,980</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Atrium CDO Corp., Series 9A, Class D, 3.74%, 2/28/24 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">716,947</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Babson CLO Ltd., Series 2012-1X, Class B, 2.73%, 4/15/22 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">490,101</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Brookside Mill CLO, Ltd., Series 2013-1A, Class C1, 2.93%, 4/17/25 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">487,352</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CarMax Auto Owner Trust, Series 2012-1:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class B, 1.76%, 8/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">210</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">213,025</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class C, 2.20%, 10/16/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">127,555</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class D, 3.09%, 8/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">160</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">163,180</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CenterPoint Energy Transition Bond Co. LLC, Series 2012-1, Class A3, 3.03%, 10/15/25</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,105</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,119,618</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CIFC Funding Ltd. (a)(b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-1AR, Class B1R, 4.39%, 8/14/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">743,850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-IA, Class B, 3.04%, 4/16/25</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">489,155</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-IA, Class C, 3.83%, 4/16/25</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">477,036</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ford Credit Floorplan Master Owner Trust, Series 2012-2:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class B, 2.32%, 1/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">245</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">249,967</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class C, 2.86%, 1/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">105</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">108,453</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class D, 3.50%, 1/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">209,071</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Galaxy XV CLO Ltd., Series 2013-15A, Class C, 2.83%, 4/15/25 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">485,323</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ING IM CLO Ltd., Series 2012-2A, Class C, 3.68%, 10/15/22 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750,197</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Nelnet Student Loan Trust (b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2006-1, Class A5, 0.34%, 8/23/27</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">525</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">517,032</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2008-3, Class A4, 1.88%, 11/25/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">620</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">650,402</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">OZLM Funding III, Ltd., Series 2013-3A (a)(b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class B, 3.33%, 1/22/25</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">745,725</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class C, 4.13%, 1/22/25</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">482,096</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">OZLM VIII, Ltd., Series 2014-8A, Class C, 3.78%, 10/17/26 (a)(b)(c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,869,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Santander Drive Auto Receivables Trust:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2010-2, Class C, 3.89%, 7/17/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">608</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">610,418</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2010-B, Class C, 3.02%, 10/17/16 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">40</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">39,610</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2011-1, Class D, 4.01%, 2/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">940</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">964,887</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-1, Class B, 2.72%, 5/16/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">96</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">95,898</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-1, Class C, 3.78%, 11/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">325</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">332,363</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Silver Spring CLO, Ltd., Series 2014-1A, Class D, 3.72%, 10/15/26 (a)(b)(c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,119,050</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">SLM Private Credit Student Loan Trust, Series 2004-B, Class A2, 0.43%, 6/15/21 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">111</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">110,270</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">SLM Private Education Loan Trust, Series 2012-A, Class A1, 1.56%, 8/15/25 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">190</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">192,298</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">SLM Student Loan Trust:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2008-5, Class A3, 1.53%, 1/25/18 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">424</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">427,088</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2008-5, Class A4, 1.93%, 7/25/23 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">630</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">657,795</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-A, Class A2, 3.83%, 1/17/45 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">345</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">361,818</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2014-A, Class B, 3.50%, 11/15/44 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">244,638</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Small Business Administration Participation Certificates, Series 1996-20K, Class 1, 6.95%,
                                         11/01/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">71</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">73,665</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Steele Creek CLO 2014-1, Ltd., Series 2014-1A, Class C, 3.43%, 8/21/26 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,459,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Symphony CLO VII, Ltd., Series 2011-7A, Class E, 3.84%, 7/28/21 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">723,920</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Venture CDO Ltd., 3.39%, 10/15/26 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,550</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,525,029</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Voya CLO Ltd., Series 2014-3A, Class C, 3.83%, 7/25/26 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,663,200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">World Financial Network Credit Card Master Trust, Series 2012-C, Class C, 4.55%, 8/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,180</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,231,459</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">25,937,056</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>
<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Asset-Backed
                                 Securities</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="12" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Interest Only Asset-Backed Securities &#151; 0.2%</B></FONT></DIV>

 </FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,643</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;191,596</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,974</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">341,985</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">533,581</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="7" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total Asset-Backed Securities &#151; 6.5%</B></FONT></DIV>

</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">26,470,637</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Corporate Bonds</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>&nbsp;</B>&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Aerospace &amp; Defense &#151; 0.6%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Huntington Ingalls Industries, Inc., 7.13%, 3/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">230</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">United Technologies Corp. (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.88%, 5/01/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,287,564</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.13%, 7/15/38</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">976,843</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,514,532</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Airlines &#151; 2.1%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">American Airlines Pass-Through Trust, Series 2013-2:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class A, 4.95%, 1/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,224</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,396,348</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class B, 5.60%, 7/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">488</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">506,206</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Continental Airlines Pass-Through Trust:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2010-1, Class B, 6.00%, 1/12/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">421</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">448,376</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-3, Class C, 6.13%, 4/29/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">530,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">United Airlines Pass-Through Trust:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-1, Class A, 4.30%, 8/15/25</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,050,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2014-2, Class B, 4.63%, 9/03/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,375,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">US Airways Pass-Through
                                  Trust, Series 2012-1, Class C, 9.13%, 10/01/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,084</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,143,747</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,449,677</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Auto Components &#151; 0.8%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Icahn Enterprises LP/Icahn Enterprises Finance Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.50%, 3/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">91</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">91,569</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.88%, 3/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,330</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,366,575</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 8/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">953</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,017,327</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.88%, 2/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">667</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">695,348</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,170,819</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Automobiles &#151; 1.0%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ford Motor Co., 4.75%, 1/15/43</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,005</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,098,599</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">General Motors Co., 6.25%, 10/02/43</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,253</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,469,143</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Jaguar Land Rover Automotive PLC, 4.13%, 12/15/18 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">761,250</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,328,992</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Banks &#151; 4.2%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Barclays Bank PLC, 7.63%, 11/21/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,965,469</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CIT Group, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.50%, 2/15/19 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">398</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">429,343</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.38%, 5/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,650</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,786,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Depfa ACS Bank, 5.13%, 3/16/37 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,964,354</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">HSBC Bank Brasil SA &#151; Banco Multiplo, 4.00%, 5/11/16 (a)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,442,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">HSBC Bank PLC, 3.10%, 5/24/16 (a)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">695</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">723,608</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">HSBC Holdings PLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.25%, 3/14/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,010</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,048,506</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.10%, 1/14/42 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">305</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">396,442</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Rabobank Nederland (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.88%, 2/08/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,390</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,487,167</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.95%, 11/09/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,542,769</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Wells Fargo &amp; Co., 3.50%, 3/08/22 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,390</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,447,846</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">17,233,629</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Building Products &#151; 0.1%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Cemex SAB de CV, 5.88%, 3/25/19 (a)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">209,500</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">

<!-- agabop mode="frill" last-style="soi_footnote2" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">43<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 31 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 32 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote2" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income
Opportunity Trust, Inc. (BNA)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Capital Markets &#151; 3.7%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CDP Financial, Inc., 5.60%, 11/25/39 (a)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,955</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;3,808,389</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Goldman Sachs Group, Inc. (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.38%, 3/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,215</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,372,713</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.25%, 7/27/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,175</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,578,047</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 1/24/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,815</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,106,353</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Lehman Brothers Holdings Inc., 6.50%, 7/19/17 (e)(f)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">225</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Morgan Stanley:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.20%, 11/20/14 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">680</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">685,487</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.00%, 7/24/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">412,468</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 8/28/17 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,925</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,179,256</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Murray Street Investment Trust I, 4.65%, 3/09/17 (d)(g)</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">820</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">882,082</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">15,024,795</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Chemicals &#151; 1.3%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding
                                         BV, 7.38%, 5/01/21 (a)</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">151</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">164,590</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Axiall Corp., 4.88%, 5/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">152</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">152,190</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Dow Chemical Co., 4.13%, 11/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">374,869</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Huntsman International LLC, 4.88%, 11/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">297</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">302,940</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Methanex Corp., 3.25%, 12/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,074</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,127,341</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">161</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">177,503</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Rockwood Specialties Group, Inc., 4.63%, 10/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,872,000</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,171,433</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="9" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Commercial Services &amp; Supplies &#151; 1.3%</B></FONT></DIV>

 </TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ADS Waste Holdings, Inc., 8.25%, 10/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">245</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">260,925</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The ADT Corp., 4.88%, 7/15/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">539</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">458,150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Aviation Capital Group Corp. (a):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.63%, 1/31/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">650</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">680,991</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.13%, 10/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,027,408</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Brand Energy &amp; Infrastructure Services, Inc., 8.50%, 12/01/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">214</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">222,560</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Mobile Mini, Inc., 7.88%, 12/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,320</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,425,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">United Rentals North America, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 7/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">194</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">204,185</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.38%, 5/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">385</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">419,650</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.63%, 4/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">455</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">510,737</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,210,206</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Communications Equipment &#151; 1.2%</B></FONT></DIV>

</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">ADC Telecommunications, Inc., 3.50%, 7/15/15 (h)</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,340</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,383,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">530</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">571,737</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,955,137</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="10" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Construction &amp; Engineering &#151; 0.1%</B></FONT></DIV>

</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ABB Finance USA, Inc., 4.38%, 5/08/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">194</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">204,073</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">BlueLine Rental Finance Corp., 7.00%, 2/01/19 (a)</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">96</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">101,520</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">210,500</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">516,093</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="13" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Construction Materials &#151; 1.1%</B></FONT></DIV>

</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Allegion US Holding Co., Inc., 5.75%, 10/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">448</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">469,280</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">HD
                                         Supply, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.13%, 4/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,954</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,129,860</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 7/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,544</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,659,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Lafarge SA, 7.13%, 7/15/36</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">135</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">154,575</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,413,515</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Consumer Finance &#151; 0.9%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Discover Financial Services, 3.85%, 11/21/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">256,017</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ford Motor Credit Co. LLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.63%, 8/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">280</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">319,789</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.13%, 1/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,265</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,605,981</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.25%, 9/20/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">854,769</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">SLM Corp., 6.25%, 1/25/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">651</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">690,060</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,726,616</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>
<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
                                 Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Containers &amp; Packaging &#151; 0.3%</B></FONT></DIV>

</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">91</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;97,142</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sealed Air Corp. (a):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.50%, 12/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">550</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">605,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.38%, 9/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">225</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">253,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">410</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">425,375</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,380,642</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="10" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Diversified Consumer Services &#151; 0.4%</B></FONT></DIV>

</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">APX Group, Inc., 6.38%, 12/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">269</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">273,035</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Service Corp. International, 4.50%, 11/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,240</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,235,350</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,508,385</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Diversified Financial Services &#151; 7.5%</B></FONT></DIV>

</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Aircastle Ltd., 6.25%, 12/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">705</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">763,162</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ally Financial, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.50%, 2/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,601,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 12/01/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">160</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">176,200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.00%, 3/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">560</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">680,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.00%, 11/01/31</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">300</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">388,125</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Bank of America Corp. (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 7/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,260,607</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.30%, 1/11/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,010</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,968,347</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Capital One Financial Corp., 4.75%, 7/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">975</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,082,347</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">FMR LLC, 4.95%, 2/01/33 (a)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,278,895</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">General Electric Capital Corp., 6.75%, 3/15/32 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,364,865</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">General Motors Financial Co., Inc., 4.25%, 5/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">406</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">414,627</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">IntercontinentalExchange Group, Inc., 4.00%, 10/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">235</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250,047</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Intesa Sanpaolo SpA, 5.02%, 6/26/24 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,145</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,155,713</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,306,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">JPMorgan Chase &amp; Co., 6.30%, 4/23/19 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,613,968</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">JPMorgan Chase Bank NA, 6.00%, 10/01/17 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">904,972</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Macquarie Bank Ltd., 10.25%, 6/20/57 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,026,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Moody&#146;s Corp., 4.50%, 9/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">958,425</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Northern Trust Corp., 3.95%, 10/30/25 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,185,768</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Reynolds Group Issuer, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.13%, 4/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">207,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.88%, 8/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">560</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">606,200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 10/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,045,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.88%, 2/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,255</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,344,419</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">30,583,337</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="14" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Diversified Telecommunication Services &#151; 2.7%</B></FONT></DIV>

</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CenturyLink, Inc., Series V, 5.63%, 4/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">423,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Level 3 Financing, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.13%, 7/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">671</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">726,357</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.63%, 7/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">580</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">642,350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Verizon Communications, Inc. (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.50%, 11/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">518,931</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.40%, 2/15/38</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,396</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,245,706</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.55%, 9/15/43</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,346,935</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Windstream Corp., 7.88%, 11/01/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">227,500</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,130,779</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Electric Utilities &#151; 4.9%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Cleveland Electric Illuminating Co.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.88%, 11/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">121</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">152,411</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.95%, 12/15/36</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">217</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">256,681</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CMS Energy Corp., 5.05%, 3/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">917</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,040,558</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ComEd Financing III, 6.35%, 3/15/33</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">153,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Duke Energy Carolinas LLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.10%, 6/01/37</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">325</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">412,188</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 1/15/38 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,102,175</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.25%, 12/15/41 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">388,681</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Duke Energy Florida, Inc., 6.40%, 6/15/38</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">340</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">464,025</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">E.ON International Finance BV, 6.65%, 4/30/38 (a)(d)</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,575</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,043,370</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Electricite de France SA, 5.60%, 1/27/40 (a)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,644,663</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
<!-- table_boopfix mode="ep" -->
</TR>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">

<!-- agabop mode="ep" last-style="soi_footnote2" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">44</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 32 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 33 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote2" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income
Opportunity Trust, Inc. (BNA)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt"><TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Electric Utilities (concluded)</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Florida Power Corp., 6.35%, 9/15/37 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,450</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;1,970,923</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Georgia Power Co., 3.00%, 4/15/16 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">829,505</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Jersey Central Power &amp; Light Co., 7.35%, 2/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">245</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">294,263</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ohio Power Co., Series D, 6.60%, 3/01/33</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,975,527</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">PacifiCorp, 6.25%, 10/15/37 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">650</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">865,495</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Public Service Co. of Colorado, Series 17, 6.25%, 9/01/37 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,820,475</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Southern California Edison Co. (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 2/01/36</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">675</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">842,789</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series A, 5.95%, 2/01/38</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,414,509</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Virginia Electric and Power Co., Series A, 6.00%, 5/15/37 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,920</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,472,868</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">20,144,481</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="10" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Energy Equipment &amp; Services &#151; 2.6%</B></FONT></DIV>

</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Calfrac Holdings LP, 7.50%, 12/01/20 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">470</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">499,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ensco PLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.25%, 3/15/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">160</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">165,675</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.70%, 3/15/21 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,745</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,899,766</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">EOG Resources, Inc., 2.63%, 3/15/23 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,898</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,846,887</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">71</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">73,307</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">GrafTech International Ltd., 6.38%, 11/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">580</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">600,300</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">MEG Energy Corp., 6.50%, 3/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">560</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">590,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Noble Holding International Ltd., 5.25%, 3/15/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">369,052</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Peabody Energy Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 11/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,256</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,293,680</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 11/15/21 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,244</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,239,335</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Seadrill Ltd., 6.13%, 9/15/17 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,590</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,641,675</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Transocean, Inc., 6.50%, 11/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">395,876</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,615,728</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="10" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Food &amp; Staples Retailing &#151; 0.1%</B></FONT></DIV>

</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Rite Aid Corp., 6.75%, 6/15/21</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">279</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">296,089</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Food Products &#151; 0.5%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Barry Callebaut Services NV, 5.50%, 6/15/23 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">738,955</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Kraft Foods Group, Inc., 5.00%, 6/04/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">997</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,084,150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Smithfield Foods, Inc., 5.88%, 8/01/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">169</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">180,830</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,003,935</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="10" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Health Care Equipment &amp; Supplies &#151; 0.4%</B></FONT></DIV>

</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Boston Scientific Corp., 6.25%, 11/15/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,260</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,339,739</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Teleflex, Inc., 6.88%, 6/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">385</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">407,138</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,746,877</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="10" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Health Care Providers &amp; Services &#151; 4.1%</B></FONT></DIV>

</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">535</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">565,762</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CHS/Community Health Systems, Inc., 5.13%, 8/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">416,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">494</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">681,925</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">HCA Holdings, Inc., 7.75%, 5/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">143</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">155,870</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">HCA, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.75%, 3/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">134</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">135,005</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.50%, 2/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,124</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,376,225</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.75%, 5/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,161</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,171,159</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Symbion, Inc., 8.00%, 6/15/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">455</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">473,769</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Tenet Healthcare Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 11/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">817,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 10/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">622</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">674,870</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.50%, 4/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">383</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">383,958</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.38%, 10/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,765</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,751,762</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.13%, 4/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,160</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,335,450</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">UnitedHealth Group, Inc., 2.88%, 3/15/22 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,007,922</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">WellPoint, Inc., 4.65%, 1/15/43 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,995</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,117,547</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">17,064,724</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>
<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="9" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Hotels, Restaurants &amp; Leisure &#151; 3.1%</B></FONT></DIV>
</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property, 8.00%, 10/01/20
                                         (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,120</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;2,104,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">MCE Finance Ltd., 5.00%, 2/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">941</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">936,295</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Six Flags Entertainment Corp., 5.25%, 1/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">859</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">869,737</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Unique Pub Finance Co. PLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series A3, 6.54%, 3/30/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,748</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,054,295</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series A4, 5.66%, 6/30/27</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">623</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,041,957</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series M, 7.40%, 3/28/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,543,706</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series N, 6.46%, 3/30/32</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,195</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,867,672</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Wynn Macau Ltd., 5.25%, 10/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">416</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">423,280</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,841,042</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Household Durables &#151; 0.2%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">374</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">377,740</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Weyerhaeuser Real Estate Co. (a):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.38%, 6/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">215</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">215,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.88%, 6/15/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">145</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">147,900</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">740,640</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Household Products &#151; 0.1%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Spectrum Brands, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.38%, 11/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">215,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.63%, 11/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">275</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">297,687</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">512,687</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Independent Power and Renewable Electricity Producers &#151; 0.2%</B></FONT></DIV>
</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Calpine Corp., 6.00%, 1/15/22 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">137</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">147,617</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">NRG REMA LLC, Series C, 9.68%, 7/02/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">545,000</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">692,617</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="10" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Industrial Conglomerates &#151; 0.0%</B></FONT></DIV>

</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Smiths Group PLC, 3.63%, 10/12/22 (a)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">180</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">179,997</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Insurance &#151; 3.1%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">608</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">647,520</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">American International Group, Inc., 5.45%, 5/18/17 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">886,638</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">AXA SA, 5.25%, 4/16/40 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">371,716</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Five Corners Funding Trust, 4.42%, 11/15/23 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,025</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,093,923</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Hartford Financial Services Group, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 1/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">345</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">396,877</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.13%, 4/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">930</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,062,591</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Liberty Mutual Group, Inc., 6.50%, 5/01/42 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,241,191</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Lincoln National Corp., 6.25%, 2/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">630</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">742,463</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Manulife Financial Corp., 3.40%, 9/17/15 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,672,713</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Montpelier Re Holdings Ltd., 4.70%, 10/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">450</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">471,476</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">340</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">362,950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">318,679</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Prudential Financial, Inc. (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.75%, 9/17/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,220</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,271,029</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.38%, 6/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">300</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">368,947</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.38%, 6/21/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">286,330</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.50%, 11/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">439,066</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.70%, 12/14/36</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,135,871</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,769,980</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="10" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Internet Software &amp; Services &#151; 0.1%</B></FONT></DIV>

</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Equinix, Inc., 4.88%, 4/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">87</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">88,740</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">VeriSign, Inc., 4.63%, 5/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">345</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">338,962</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">427,702</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>IT Services &#151; 0.6%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">First Data Corp. (a):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.38%, 6/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">205</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">218,837</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.88%, 8/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,090,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.75%, 11/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,192</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,290,340</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,599,177</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
<!-- table_boopfix mode="frill" -->
</TR>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">

<!-- agabop mode="frill" last-style="soi_footnote2" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">45<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 33 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 34 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote2" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income
Opportunity Trust, Inc. (BNA)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt"><TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="9" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Life Sciences Tools &amp; Services &#151; 0.1%</B></FONT></DIV>

</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Agilent Technologies, Inc., 3.20%, 10/01/22</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;245,713</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Marine &#151; 0.3%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Nakilat, Inc., Series A, 6.07%, 12/31/33 (a)(d)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,100</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,237,500</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Media &#151; 5.7%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">AMC Networks, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.75%, 7/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">320</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">353,200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.75%, 12/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">343</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">347,287</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Cinemark USA, Inc., 5.13%, 12/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">175</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">177,844</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Clear Channel Communications, Inc., 9.00%, 12/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">306</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">316,710</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Clear Channel Worldwide Holdings, Inc., Series B, 6.50%, 11/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,485</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,655,595</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,909,144</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">COX Communications, Inc.,</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.95%, 6/01/38 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,256,441</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.38%, 3/01/39 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,735</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,522,017</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.38%, 3/01/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">260</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">322,932</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.15%, 3/15/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">753,675</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Gray Television, Inc., 7.50%, 10/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">334</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">352,370</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Inmarsat Finance PLC, 4.88%, 5/15/22 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">501,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Intelsat Jackson Holdings SA, 5.50%, 8/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">697,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Live Nation Entertainment, Inc., 7.00%, 9/01/20 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">109</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">117,448</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">345</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">354,487</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">NBCUniversal Media LLC (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.15%, 4/30/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,974</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,259,624</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.38%, 4/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,015</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,121,618</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Omnicom Group, Inc., 3.63%, 5/01/22 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,355</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,421,649</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sirius XM Holdings, Inc., 4.25%, 5/15/20 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">334</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">327,320</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Time Warner, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.70%, 1/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,104,821</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.10%, 7/15/40</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">615</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">740,123</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Unitymedia Hessen GmbH &amp; Co. KG/Unitymedia NRW GmbH, 5.50%, 1/15/23 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">255,625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Univision Communications, Inc., 5.13%, 5/15/23 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,153</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,207,767</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Virgin Media Secured Finance PLC, 5.38%, 4/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">395</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">410,800</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">23,487,122</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Metals &amp; Mining &#151; 3.8%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Alcoa, Inc., 5.40%, 4/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,450</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,580,965</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ArcelorMittal:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.25%, 8/05/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">174</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">177,698</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.13%, 6/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">386</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">420,257</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Commercial Metals Co., 4.88%, 5/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">561</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">549,780</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Corp. Nacional del Cobre de Chile, 3.00%, 7/17/22 (a)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,566</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,539,323</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">FMG Resources August 2006 Property Ltd., 6.00%, 4/01/17 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">105</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">109,463</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Freeport-McMoRan Copper &amp; Gold, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.55%, 3/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">540</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">542,938</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.45%, 3/15/43</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">450</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">486,195</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">New Gold, Inc., 6.25%, 11/15/22 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">435</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">456,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Newcrest Finance Property Ltd., 4.45%, 11/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">475</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">473,097</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Novelis, Inc., 8.75%, 12/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,105</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,541,156</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Teck Resources, Ltd., 5.38%, 10/01/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,459,867</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">598</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">645,840</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Xstrata Canada Corp., 6.20%, 6/15/35</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,550</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,739,407</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">15,722,736</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Multiline Retail &#151; 0.3%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Dufry Finance SCA, 5.50%, 10/15/20 (a)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,260</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,310,463</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>
<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
                                 Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="10" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Oil, Gas &amp; Consumable Fuels &#151; 10.3%</B></FONT></DIV>

</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Access Midstream Partners LP/ACMP Finance Corp., 6.13%, 7/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;435,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Anadarko Petroleum Corp., 5.95%, 9/15/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,916</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,103,666</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Antero Resources Finance Corp., 5.38%, 11/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">153</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">157,590</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">159</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">172,515</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Bonanza Creek Energy, Inc., 6.75%, 4/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">99</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">103,950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Burlington Resources Finance Co., 7.40%, 12/01/31 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,376,369</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Carrizo Oil &amp; Gas, Inc., 7.50%, 9/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">428,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Cenovus Energy, Inc., 6.75%, 11/15/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">996,115</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Chesapeake Energy Corp., 5.75%, 3/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">615</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">686,494</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">ConocoPhillips Canada Funding Co., 5.95%, 10/15/36</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">191,161</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Continental Resources, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 9/15/22 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,726,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.50%, 4/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">114</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">123,107</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Denbury Resources, Inc., 4.63%, 7/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">627</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">605,055</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">El Paso LLC, 7.80%,
                                  8/01/31</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">45</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">55,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">El Paso Natural
                                  Gas Co., 8.38%, 6/15/32</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">275</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">376,336</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Energy Transfer Partners LP, 7.50%, 7/01/38</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">655,341</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">455</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">482,300</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Enterprise Products Operating LLC, 6.13%, 10/15/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">872,348</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">KeySpan Gas East Corp., 5.82%, 4/01/41 (a)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">505</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">643,612</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Kinder Morgan Energy Partners LP:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.50%, 9/01/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,514,896</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.55%, 9/15/40</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">110</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">129,327</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.38%, 3/01/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">160</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">186,923</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Kinder Morgan, Inc., 5.63%, 11/15/23 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">170</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">187,425</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Kodiak Oil &amp; Gas Corp., 5.50%, 2/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">106</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">111,830</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Linn Energy LLC/Linn Energy Finance Corp., 6.25%, 11/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">237</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">244,703</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Marathon Petroleum Corp., 6.50%, 3/01/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,052</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,323,523</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">MarkWest Energy Partners LP/MarkWest Energy Finance Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 6/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">33</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">35,475</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.50%, 7/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,163</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">212</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">219,950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">MidAmerican Energy Co., 5.80%, 10/15/36 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,025,059</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">MidAmerican Energy Holdings Co.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.95%, 5/15/37</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,179,153</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.50%, 9/15/37</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,115</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,790,364</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Nexen, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.40%, 5/15/37</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">499,621</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 7/30/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">670</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">946,360</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Pacific Drilling SA, 5.38%, 6/01/20 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">370</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">360,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">47</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">50,643</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">PDC Energy, Inc., 7.75%, 10/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">260</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">284,700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Pemex Project Funding Master Trust, 6.63%, 6/15/35</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,005</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,471,162</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Petrobras International Finance Co.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.88%, 1/27/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,335</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,372,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 1/20/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,760</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,897,192</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Pioneer Natural Resources Co., 3.95%, 7/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">366,893</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Premier Oil PLC, 5.00%, 6/09/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,995,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Range Resources Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 6/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">106</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">113,155</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 8/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">27</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">28,721</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 3/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">63</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">66,938</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Regency Energy Partners LP/Regency Energy Finance Corp., 4.50%, 11/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">249</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250,867</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">RKI Exploration &amp; Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">118</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">126,850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Rosetta Resources, Inc., 5.63%, 5/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">239</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">244,676</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
<!-- table_boopfix mode="frill" -->
</TR>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">

<!-- agabop mode="frill" last-style="soi_footnote2" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">46</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 34 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 35 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote2" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income
Opportunity Trust, Inc. (BNA)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt"><TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Oil, Gas &amp; Consumable Fuels (concluded)</B></FONT></DIV>
</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sabine Pass Liquefaction LLC:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 2/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,791</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;1,889,505</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 3/15/22 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">398</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">431,830</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 4/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">469</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">487,760</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">SandRidge Energy, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.75%, 1/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">18</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">18,900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 2/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">238</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">247,520</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">388</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">426,800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Western Gas Partners LP, 5.38%, 6/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">715</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">812,762</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Whiting Petroleum Corp., 5.00%, 3/15/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">821</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">866,155</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Williams Cos., Inc., Series A, 7.50%, 1/15/31</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,977,077</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">42,383,762</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Paper &amp; Forest Products &#151; 0.3%</B></FONT></DIV>

</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">International Paper Co.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 8/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">75</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">95,630</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.75%, 2/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">420</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">464,268</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 11/15/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">435</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">522,873</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">NewPage Corp., 11.38%, 12/31/14 (e)(f)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,144</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,082,771</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Pharmaceuticals &#151; 0.9%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Forest Laboratories, Inc. (a):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.38%, 2/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">228</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">245,604</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 12/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">379</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">417,937</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">520</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">565,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Salix Pharmaceuticals Ltd., 6.00%, 1/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">162</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">175,770</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Valeant Pharmaceuticals International, Inc. (a):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.75%, 8/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,322</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,414,540</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.38%, 10/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">575</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">601,594</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 12/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">378</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">384,142</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,805,087</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Real Estate Investment Trusts (REITs) &#151; 0.7%</B></FONT></DIV>

 </TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Felcor Lodging LP, 5.63%, 3/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">247</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250,087</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Simon Property Group LP, 4.75%, 3/15/42 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">835</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">915,342</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">275</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">303,112</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Vornado Realty LP, 5.00%, 1/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,190</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,310,242</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,778,783</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="10" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Real Estate Management &amp; Development &#151; 1.0%</B></FONT></DIV>

</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Lennar Corp., 4.75%, 11/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">440</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">433,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Northwest Florida Timber Finance LLC, 4.75%, 3/04/29 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,300</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,409,020</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Realogy Corp., 7.63%, 1/15/20 (a)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">997</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,086,730</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,929,150</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Road &amp; Rail &#151; 0.9%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Burlington Northern Santa Fe LLC, 5.75%, 5/01/40</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">940</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,141,674</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Hertz Corp.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.25%, 4/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">237</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">238,185</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.88%, 10/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">230</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">236,613</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.38%, 1/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,450</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,551,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.25%, 10/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">385</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">401,362</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,569,334</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Semiconductors &amp; Semiconductor Equipment &#151; 0.1%</B></FONT></DIV>

</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (a)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">470</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">493,500</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Software &#151; 0.5%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Nuance Communications, Inc., 5.38%, 8/15/20 (a)</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,085</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,090,425</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Oracle Corp., 5.38%, 7/15/40 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">939,231</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,029,656</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Specialty Retail &#151; 0.6%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Home Depot, Inc., 5.88%, 12/16/36 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">830</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,052,592</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">QVC, Inc. (a):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 10/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">395</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">412,325</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.38%, 10/15/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">975</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,042,187</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,507,104</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>
<!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate
                                 Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="10" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Textiles, Apparel &amp; Luxury Goods &#151; 0.3%</B></FONT></DIV>

</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">PVH Corp., 4.50%, 12/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">487</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;483,347</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Springs Industries, Inc., 6.25%, 6/01/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">404</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">406,020</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The William Carter Co., 5.25%, 8/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">329</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">343,805</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,233,172</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Tobacco &#151; 1.2%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Altria Group, Inc.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.95%, 11/10/38</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">258</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">438,257</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">10.20%, 2/06/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">447</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">773,806</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.38%, 1/31/44 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,015</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,238,032</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Lorillard Tobacco Co., 7.00%, 8/04/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">631,462</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Reynolds American, Inc., 4.75%, 11/01/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,050</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,024,752</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,106,309</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="14" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Wireless Telecommunication Services &#151; 2.4%</B></FONT></DIV>

 </TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">America Movil SAB de CV, 2.38%, 9/08/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">819,440</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Crown Castle International Corp., 5.25%, 1/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">465</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">480,257</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Crown Castle Towers LLC, 6.11%, 1/15/20 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,595</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,865,332</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Digicel Group Ltd., 8.25%, 9/30/20 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">405</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">437,400</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Digicel Ltd., 6.00%, 4/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">824,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Rogers Communications, Inc., 7.50%, 8/15/38</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,175</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,617,759</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">SBA Tower Trust, 5.10%, 4/15/17 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">360</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">382,507</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Softbank Corp., 4.50%, 4/15/20 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">550</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">559,625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sprint Capital Corp., 8.75%, 3/15/32</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">350</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">390,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sprint Communications, Inc. (a):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.00%, 11/15/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">530</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">630,037</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.00%, 3/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">872</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">972,280</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sprint Corp., 7.88%, 9/15/23 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">911,625</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,890,512</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="12" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total Corporate Bonds &#151; 78.7%</B></FONT></DIV>

</DIV>
</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">322,976,437</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Foreign Agency Obligations</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>&nbsp;</B>&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Brazilian Government International Bond, 5.00%, 1/27/45</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,862</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,933,550</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Cyprus Government International Bond, 4.63%, 2/03/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">EUR</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">605</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">790,965</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Iceland Government International Bond, 5.88%, 5/11/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,780</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,025,649</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Italian Republic, 5.38%, 6/15/33</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">470</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">571,240</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Portugal Government International Bond, 5.13%, 10/15/24 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">646,625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Slovenia Government International Bond, 5.85%, 5/10/23
                                         (a)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">432</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">488,592</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total Foreign Agency Obligations &#151; 1.8%</B></FONT></DIV>
</TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,456,621</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Municipal Bonds</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>&nbsp;</B>&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">City of Detroit Michigan, GO, Taxable Capital Improvement, Limited Tax, Series A-2, 8.00%,
                                  4/01/15 (e)(f)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,525</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">427,153</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">City of New York New York Municipal Water Finance Authority, Refunding RB, 2nd General Resolution:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series EE, 5.50%, 6/15/43</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">465</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">549,756</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series GG, Build America Bonds, 5.72%, 6/15/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">690</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">891,190</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Water &amp; Sewer System, Fiscal 2011, Series EE, 5.38%, 6/15/43</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">385</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">450,900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 6/01/40</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,225,795</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 1/15/40</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,260</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,646,354</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Metropolitan Transportation Authority, RB, Build America Bonds, Series C, 7.34%, 11/15/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">670</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,020,792</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">

<!-- agabop mode="frill" last-style="soi_footnote2" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">47<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 35 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 36 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote2" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income
Opportunity Trust, Inc. (BNA)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Municipal
     Bonds</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Municipal Electric Authority of Georgia Plant Vogtle Units 3 &amp; 4, Refunding RB, Build America
                                         Bonds, Series A, 7.06%, 4/01/57</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;1,156,240</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">New York State Dormitory Authority, RB, Build America Bonds:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 3/15/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">550</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">674,960</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.60%, 3/15/40</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,181,971</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Port Authority of New York &amp; New Jersey, RB, Consolidated, 159th Series, 6.04%, 12/01/29</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">395</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">499,335</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">State of California, GO, Build America Bonds, Various Purpose:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.55%, 4/01/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">140</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">211,474</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.63%, 3/01/40</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">860</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,299,451</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">State of Illinois, GO, Pension, 5.10%, 6/01/33</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">991,670</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">University of California, RB, Build America Bonds, 5.95%,
                                         5/15/45</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">440</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">559,099</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="9" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total Municipal Bonds &#151; 3.1%</B></FONT></DIV>
</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,786,140</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="13" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Non-Agency Mortgage-Backed Securities</B></FONT></DIV>
</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="12" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Collateralized Mortgage Obligations &#151; 1.4%</B></FONT></DIV>
</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 3/25/37</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">660</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">556,822</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Collateralized Mortgage Obligation Trust, Series 40, Class R, 0.58%, 4/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">16</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">16</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Countrywide Alternative Loan Trust:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2005-64CB, Class 1A15, 5.50%, 12/25/35</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,102</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,043,597</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2006-OA21, Class A1, 0.35%, 3/20/47 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">727</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">588,819</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA5, Class 2A1, 0.36%, 4/25/46
                                         (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">293</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">245,184</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Credit Suisse Mortgage Capital Certificates, Series 2011-2R, Class 2A1, 2.61%, 7/27/36 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">956</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">968,283</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 5.06%, 6/19/35 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">550</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">554,671</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Homebanc Mortgage Trust, Series 2006-2, Class A1, 0.34%, 12/25/36 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">463</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">408,135</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 2.71%, 5/25/36 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">551</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">452,613</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Residential Funding Securities LLC, Series 2003-RM2, Class AI5, 8.50%, 5/25/33</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">637</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">674,931</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, 0.89%, 5/25/47 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">307</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">272,371</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,765,442</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="14" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Commercial Mortgage-Backed Securities &#151; 12.9%</B></FONT></DIV>
</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Banc of America Merrill Lynch Commercial Mortgage Trust:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2006-6, Class A2, 5.31%, 10/10/45</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">147</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">147,851</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2007-1, Class A4, 5.45%, 1/15/49</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">536,104</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2007-2, Class A4, 5.78%, 4/10/49 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">818,490</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Bear Stearns Commercial Mortgage Securities, Series 2005-PWR9, Class A4A, 4.87%, 9/11/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">663</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">681,893</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Citigroup Commercial Mortgage Trust (b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2008-C7, Class A4, 6.34%, 12/10/49</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,329,745</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-GC15, Class B, 5.28%, 9/10/46</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,593</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,983,444</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-GC15, Class XA, 1.46%, 9/10/46</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">13,194</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">926,954</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,189,716</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Commercial Mortgage Loan Trust, Series 2008-LS1, Class A4B, 6.21%, 12/10/49 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,421</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,545,188</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD COLSPAN="8" NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Non-Agency Mortgage-Backed Securities</B></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="14" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Commercial Mortgage-Backed Securities (concluded)</B></FONT></DIV>
</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Commercial Mortgage Trust:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2006-C7, Class AM, 5.97%, 6/10/46 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;1,872,043</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-CR11, Class B, 5.33%, 10/10/46 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,505</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,892,166</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-CR11, Class C, 5.34%, 10/10/46 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,271</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,526,230</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-LC6, Class B, 3.74%, 1/10/46</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">695</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">699,949</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-LC6, Class D, 4.43%, 1/10/46 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">835</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">787,811</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Credit Suisse Commercial Mortgage Trust:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2006-C3, Class AM, 6.00%, 6/15/38 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,072,522</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2006-C5, Class AM, 5.34%, 12/15/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,881,647</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2010-RR2, Class 2A, 6.10%, 9/15/39 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">774</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">831,994</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C3, Class AJ, 4.77%, 7/15/37</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">705</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">718,278</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">DBRR Trust, Series 2011-C32, Class A3A, 5.93%, 6/17/49 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">365</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">399,017</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4, 6.01%, 7/10/38 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,132</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,205,804</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">GS
                                         Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,255</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,255,236</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Hilton USA Trust, Series 2013- HLT, 4.41%, 11/05/30</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,950</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,020,517</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class D, 5.25%, 11/15/45 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">800</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">794,388</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-LN2, Class A2, 5.12%, 7/15/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">105</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">105,659</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB14, Class AM, 5.62%, 12/12/44
                                         (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">330</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">346,995</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">LB-UBS Commercial Mortgage Trust (b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2004-C8, Class C, 4.93%, 12/15/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,385</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,391,847</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2007-C6, Class A4, 5.86%, 7/15/40</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,921</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,233,668</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2007-C7, Class A3, 5.87%, 9/15/45</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,223,175</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A4, 5.45%, 2/12/44 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,327,020</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">RCMC LLC, Series 2012-CRE1, Class A, 5.62%, 11/15/44 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">659</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">679,405</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Titan Europe PLC, Series 2007-1X, Class A, 0.81%, 1/20/17 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">GBP</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,607</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,535,059</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, 6.14%, 2/15/51 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,285</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,478,192</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">WF-RBS Commercial Mortgage Trust, Series 2012-C8:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class B, 4.31%, 8/15/45</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">736,370</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Class C, 5.04%, 8/15/45 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">963,951</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">53,138,328</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Interest Only Collateralized Mortgage Obligations &#151; 0.0%</B></FONT></DIV>
</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">GSMPS Mortgage Loan Trust, Series 1998-5, 0.00%, 6/19/27
                                         (a)(b)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,488</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">15</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Interest Only Commercial Mortgage-Backed Securities &#151; 0.8%</B></FONT></DIV>
</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, 2.02%, 8/15/45
                                         (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">15,562</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,372,238</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">WF-RBS Commercial Mortgage Trust, Class XA (a)(b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-C8, 2.37%, 8/15/45</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,957</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">651,685</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-C9, 2.39%, 11/15/45</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,497</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,233,122</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,257,045</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="12" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total Non-Agency Mortgage-Backed Securities &#151; 15.1%</B></FONT></DIV>
</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">62,160,830</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">

<!-- agabop mode="frill" last-style="soi_footnote2" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">48</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 36 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 37 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote2" -->
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Arial; margin-bottom: 2pt">
<TR>
<TD STYLE="width: 63%"></TD>
<TD STYLE="width: 36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income
Opportunity Trust, Inc. (BNA)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Preferred
     Securities</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Capital Trusts</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Banks &#151; 0.7%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">BNP Paribas SA, 7.20% (a)(b)(i)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;1,167,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Wachovia Capital Trust III, 5.57% (b)(i)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,025</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,004,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Wells Fargo &amp; Co., Series S, 5.90% (b)(i)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">795</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">832,763</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,004,763</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Capital Markets &#151; 1.4%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Bank of New York Mellon Corp., Series D, 4.50% (b)(i)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,202</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,939,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Credit Suisse Group AG, 7.50% (a)(b)(i)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,627,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">State Street Capital Trust IV, 1.23%, 6/15/37 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">70</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">60,462</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,627,337</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="12" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Diversified Financial Services &#151; 4.4%</B></FONT></DIV>
</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Citigroup, Inc., Series D, 5.35% (b)(i)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,050</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,002,612</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Citigroup, Inc., Series M, 6.30% (b)(i)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,035,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Credit Agricole SA, 7.88% (a)(b)(i)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,078,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">General Electric Capital Corp., Series B, 6.25% (b)(i)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">900</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,004,625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">JPMorgan Chase &amp; Co.:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1, 7.90% (b)(i)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,871,875</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series Q, 5.15% (b)(i)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,460,625</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series V, 5.00% (b)(i)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,974,968</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Morgan Stanley, Series H, 5.45% (b)(i)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">875</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">890,313</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Societe Generale SA (a)(b)(i):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,860</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,731,300</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.88%</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,042,700</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">18,092,768</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Electric Utilities &#151; 0.5%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Electricite de France SA, 5.25% (a)(b)(i)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,100</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,168,250</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Insurance &#151; 4.3%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Allstate Corp.,</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.75%, 8/15/53 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,070,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.50%, 5/15/57 (b)(d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,356,937</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">American International Group, Inc., 8.18%, 5/15/58 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">970</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,336,175</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">AXA SA, 6.46% (a)(b)(i)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,025</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,087,781</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Genworth Holdings, Inc., 6.15%, 11/15/66 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,150</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,012,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Liberty Mutual Group, Inc., 7.00%, 3/07/37 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">975</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,035,937</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Lincoln National Corp., 6.05%, 4/20/67 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">769,688</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Metlife Capital Trust IV, 7.88%, 12/15/37 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">645</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">823,988</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">MetLife, Inc., 6.40%, 12/15/36</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,946,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Swiss Re Capital I LP, 6.85% (a)(b)(d)(i)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,060</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,115,650</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Voya Financial, Inc., 5.65%, 5/15/53 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,289,375</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">XL
                                         Group PLC, Series E, 6.50% (b)(i)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">810</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">782,663</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">17,626,444</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="9" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total Capital Trusts &#151; 11.3%</B></FONT></DIV>
</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">46,519,562</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Preferred Stocks</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>&nbsp;</B>&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Shares</B></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Banks &#151; 1.3%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">U.S. Bancorp, 6.00% (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">150,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,108,500</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Wells Fargo &amp; Co., 5.85% (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">38</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">977,625</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,086,125</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Capital Markets &#151; 0.4%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">The Goldman Sachs Group, Inc., Series J, 0.00% (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">46,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,126,080</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">SCE Trust III, 0.00% (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,657</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">336,423</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,462,503</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="10" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Thrifts &amp; Mortgage Finance &#151; 0.0%</B></FONT></DIV>
</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Fannie Mae, Series S, 8.25% (b)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,000</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">110,000</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total Preferred Stocks &#151; 1.7%</B></FONT></DIV>
</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right">6,658,628</TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Trust
                                 Preferred &#151; 0.1%</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Banks &#151; 0.1%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Citigroup Capital XIII, 7.88% 10/30/40 (i)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">14,810</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;400,913</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="9" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total Preferred Securities &#151; 13.1%</B></FONT></DIV>
</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">53,579,103</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>US Government Sponsored Agency Securities</B><BR></FONT></DIV>
</TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Agency Obligations &#151; 3.3%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Fannie Mae (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">0.00%, 10/09/19 (j)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,305</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,465,736</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.63%, 7/15/37</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">825</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,125,863</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Federal Home Loan Bank (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.25%, 12/09/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">843,929</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.37%, 9/09/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,349,412</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Resolution Funding Corp., 0.00%, 4/15/30 (j)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,055</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,672,660</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">13,457,600</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Collateralized Mortgage Obligations &#151; 0.1%</B></FONT></DIV>
</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Fannie Mae Mortgage-Backed Securities:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2005-5, Class PK, 5.00%, 12/25/34</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">273</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">289,490</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1991-87, Class S, 26.27%, 8/25/21 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">14,705</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series G-49, Class S, 1,018.68%, 12/25/21 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(k)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">286</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series G-17, Class S, 1,064.92%, 6/25/21 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">49</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">767</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series G-33, Class PV, 1,078.42%, 10/25/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">49</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">488</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series G-07, Class S, 1,127.09%, 3/25/21 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(k)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">842</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1991-46, Class S, 2,483.51%, 5/25/21 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">26</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,559</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Freddie Mac Mortgage-Backed Securities:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 0173, Class R, 9.00%, 11/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 0173, Class RS, 9.50%, 1/15/21&#150;11/15/21 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(k)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 0075, Class RS, 50.25%, 1/15/21 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(k)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1057, Class J, 1,008.00%, 3/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">20</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">272</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 0019, Class R, 16,324.45%, 3/15/20 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">208</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">308,625</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="14" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Commercial Mortgage-Backed Securities &#151; 0.7%</B></FONT></DIV>
</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Freddie Mac Mortgage-Backed Securities (b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-K24, Class B, 3.62%, 11/25/45 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,750</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,728,745</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series K013, Class A2, 3.97%, 1/25/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">930</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,016,225</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-K706, Class C, 4.16%, 11/25/44 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">170</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">175,514</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,920,484</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="14" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Interest Only Collateralized Mortgage Obligations &#151; 1.8%</B></FONT></DIV>
</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Fannie Mae Mortgage-Backed Securities:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1997-50, Class SI, 1.20%, 4/25/23 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">88</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,803</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-96, Class DI, 4.00%, 2/25/27</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,075</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">670,295</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-M9, Class X1, 4.23%, 12/25/17 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,519</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,347,498</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2012-47, Class NI, 4.50%, 4/25/42</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,646</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">772,445</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 089, Class 2, 8.00%, 10/25/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">109</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 007, Class 2, 8.50%, 4/25/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">77</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series G92-05, Class H, 9.00%, 1/25/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">960</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 094, Class 2, 9.50%, 8/25/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">126</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1990-136, Class S, 19.92%, 11/25/20 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,187</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,471</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1991-139, Class PT, 648.35%, 10/25/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">55</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">564</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1991-099, Class L, 930.00%, 8/25/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">24</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">304</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1990-123, Class M, 1,009.50%, 10/25/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">71</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series G-10, Class S, 1,090.36%, 5/25/21 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">134</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,275</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series G-12, Class S, 1,157.49%, 5/25/21 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" COLSPAN="3"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">96</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,898</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">

<!-- agabop mode="frill" last-style="soi_footnote2" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">49<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 37 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 38 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote2" -->
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Arial; margin-bottom: 2pt">
<TR>
<TD STYLE="width: 63%"></TD>
<TD STYLE="width: 36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income
Opportunity Trust, Inc. (BNA)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM"></FONT><TD COLSPAN="8" STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>U.S. Government Sponsored Agency Securities</B></FONT></DIV></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Interest Only Collateralized Mortgage Obligations (concluded)</B></FONT></DIV>
</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Freddie Mac Mortgage-Backed Securities:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series K707, Class X1, 1.69%, 12/25/18 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,482</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;143,836</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series K710, Class X1, 1.91%, 5/25/19 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,558</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">609,036</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2611, Class QI, 5.50%, 9/15/32</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">828</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">89,875</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1254, Class Z, 8.50%, 4/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">32</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,174</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1043, Class H, 44.31%, 2/15/21 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,421</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,730</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1054, Class I, 868.00%, 3/15/21 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">18</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">344</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 0176, Class M, 1,010.00%, 7/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">147</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1056, Class KD, 1,084.50%, 3/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">13</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">211</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1148, Class E, 1,178.74%, 10/15/21 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">36</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;639</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 0200, Class R, 198,052.82%, 12/15/22 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(k)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">317</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ginnie Mae Mortgage-Backed Securities (b):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2009-78, Class SD, 6.04%, 9/20/32</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,817</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">927,776</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2009-116, Class KS, 6.32%, 12/16/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,386</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">370,399</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2011-52, Class NS, 6.52%, 4/16/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">13,067</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,397,384</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,357,764</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="9" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Mortgage-Backed Securities &#151; 7.3%</B></FONT></DIV>
</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Fannie Mae Mortgage-Backed Securities:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.00%, 9/01/44 (l)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,800</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,770,250</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.00%, 12/01/41&#150;9/01/44 (l)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,940</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,240,778</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.50%, 7/01/41&#150;9/01/44 (l)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,018</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,988,199</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 8/01/34</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,093</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,312,704</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.50%, 7/01/16&#150;6/01/38</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,254</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,402,461</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 3/01/16&#150;12/01/38</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,053</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,183,731</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ginnie Mae Mortgage-Backed Securities, 8.00%, 7/15/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(k)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">303</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">29,898,426</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="14" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Principal Only Collateralized Mortgage Obligations &#151; 0.0%</B></FONT></DIV>
</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Fannie Mae Mortgage-Backed Securities:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 228, Class 1, 0.00%, 2/25/23&#150;6/25/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,050</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1993-51, Class E, 0.01%, 2/25/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">16</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">14,900</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">24,950</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="13" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total U.S. Government Sponsored Agency Securities &#151; 13.2%</B></FONT></DIV>
</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">53,967,849</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>U.S. Treasury Obligations</B><BR></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>&nbsp;</B>&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR><FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>Value</B><BR></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">U.S. Treasury Bonds:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.13%, 8/15/29 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,500</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,567,577</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.38%, 2/15/31 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">375</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">505,840</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.50%, 2/15/39 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,865</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,117,031</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>U.S.
                                 Treasury Obligations</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">U.S. Treasury Bonds (concluded):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.38%, 5/15/40 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,225</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,277,392</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.75%, 2/15/41 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,621</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,146,559</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.38%, 5/15/41 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">805</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,009,520</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.13%, 11/15/41 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,925</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,073,956</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.13%, 2/15/42 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,368</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,400,560</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.00%, 5/15/42 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,730</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,699,288</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.13%, 2/15/43 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,344</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,365,470</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.75%, 11/15/43</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,065</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,205,114</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.63%, 2/15/44 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,534,375</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.38%, 5/15/44</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,115,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">U.S. Treasury Notes (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">1.50%, 1/31/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,100</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,096,415</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">1.75%, 5/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">152</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">147,867</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 30px; TEXT-INDENT: -10px"><FONT STYLE="font-size: 8pt">2.50%, 5/15/24</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,450</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,485,028</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="12" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total U.S. Treasury Obligations &#151; 13.3%</B></FONT></DIV>
</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">54,746,992</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="13" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 0px; text-indent: -0px"><FONT STYLE="font-size: 8pt"><B>Total Long-Term Investments</B><BR><B> (Cost &#151; $557,866,610) &#151; 144.8%</B></FONT></DIV>
</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">594,144,609</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Short-Term Securities</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Shares</B></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">BlackRock Liquidity Funds, TempFund, Institutional Class,
                                         0.03% (m)(n)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,425,318</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,425,318</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 0px; text-indent: 0px"><FONT STYLE="font-size: 8pt"><B>Total Short-Term Securities</B><BR><B> (Cost &#151; $3,425,318) &#151; 0.8%</B></FONT></DIV>
</TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,425,318</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Options Purchased</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>&nbsp;</B>&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>(Cost &#151; $1,408,661) &#151; 0.2%</B></FONT></DIV>
</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">954,199</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="12" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 0px; text-indent: 0px"><FONT STYLE="font-size: 8pt"><B>Total Investments Before Options Written</B><BR><B> (Cost &#151; $562,700,589) &#151; 145.8%</B></FONT></DIV>
</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">598,524,126</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Options Written</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>&nbsp;</B>&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="12" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>(Premiums Received &#151; $3,351,152) &#151; (0.6)%</B></FONT></DIV>
</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(2,588,336</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 0px; text-indent: 0+px"><FONT STYLE="font-size: 8pt"><B>Total Investments, Net of Options Written</B><BR> <B>(Cost &#151; $559,349,437) &#151; 145.2%</B></FONT></DIV>
</TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">595,935,790</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="12" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Liabilities in Excess of Other Assets &#151; (45.2)%</B></FONT></DIV>
</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(185,433,229</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Net Assets &#151; 100.0%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">410,502,561</FONT></TD>
     <TD STYLE="border-bottom: windowtext 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
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<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<P STYLE="text-align: left; color: gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; border-bottom: Black 1pt solid;
background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Notes to Schedule of Investments</FONT></B></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(a)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold
in transactions exempt from registration to qualified institutional investors.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(b)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Variable rate security. Rate shown is as of report date.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(c)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">When-issued security. Unsettled when-issued transactions were as follows:</DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: left; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Counterparty</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Value</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Unrealized<BR>
Appreciation</B></B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Bank of America N.A. </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,869,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Barclays Capital, Inc. </DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">2,119,050</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TABLE>

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(d)</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">All
or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(e)</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(f)</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Non-income producing security.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(g)</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate
shown is as of report date.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(h)</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Convertible security.</DIV></FONT></TD>
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</TR>
</TABLE>
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<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">50</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV align=left>
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<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Arial; margin-bottom: 12pt">
<TR>
<TD STYLE="width: 63%"></TD>
<TD STYLE="width: 36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income
Opportunity Trust, Inc. (BNA)<BR>&nbsp;<BR></FONT></B></TD></TR></TABLE></DIV>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt"></TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(i)</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Security is perpetual in nature and has no stated maturity date.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(j)</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Zero-coupon bond.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(k)</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Amount is less than $500.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(l)</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Represents or includes a TBA transaction. Unsettled TBA transactions as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: left; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Counterparty</B></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Value</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Unrealized<BR>
Appreciation<BR>(Depreciation)</B></B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Credit Suisse Securities (USA) LLC </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,770,250</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">105,188</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Goldman Sachs &amp; Co. </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,124,987</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">15,351</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">J.P. Morgan Securities LLC </DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">9,180,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">25,234</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>


<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(m)</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2014, for purposes of Section 2(a)(3) of the
1940 Act, were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 52.5%; text-align: left; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Affiliate</B></B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Shares<BR> Held at<BR> August 31,
2013</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Net<BR> Activity</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Shares<BR> Held at<BR> August 31,
2014</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Income</B></B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="52.5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BlackRock Liquidity Funds, TempFund, Institutional Class  </DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">6,904,938</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(3,479,620</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">3,425,318</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,754</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TR></TABLE>

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(n)</FONT></TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Represents the current yield as of report date.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Reverse repurchase agreements outstanding as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: left; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Counterparty<BR></B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT"
></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Interest<BR> Rate</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Trade<BR> Date</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Maturity<BR>
Date<SUP>1</SUP></B></B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Face Value</B></B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Face Value<BR> Including<BR>
Accrued<BR> Interest</B></B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/01/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;1,793,610</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;1,803,672</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/01/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,937,250</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,948,117</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Merrill Lynch, Pierce, Fenner &amp; Smith Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.11%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/02/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,446,662</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,455,786</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Merrill Lynch, Pierce, Fenner &amp; Smith Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.11%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/02/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">908,250</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">909,535</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/03/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,967,006</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,976,855</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/03/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,460,625</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,467,938</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/03/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,232,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,238,169</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/03/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,751,625</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,760,395</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/03/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">599,688</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">602,690</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/03/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,363,838</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,370,666</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/03/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,505,318</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,512,855</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/03/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,372,250</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,379,121</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/03/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,600,156</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,608,168</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/03/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,317,750</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,324,348</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/03/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">262,813</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">264,128</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/03/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,359,375</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,366,181</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/03/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,284,050</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,290,479</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/03/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">361,875</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">363,687</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/03/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">411,500</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">413,560</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Merrill Lynch, Pierce, Fenner &amp; Smith Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.09%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/25/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">10,877,562</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">10,883,283</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Merrill Lynch, Pierce, Fenner &amp; Smith Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.08%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/25/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,262,519</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,264,991</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Merrill Lynch, Pierce, Fenner &amp; Smith Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.07%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/25/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,560,880</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,563,923</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.04%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/29/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,045,494</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,045,813</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.07%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/29/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,212,665</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,213,797</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Capital, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">6/24/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,344,932</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,359,047</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.06%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">6/24/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">493,594</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">493,806</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.11%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">6/24/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,077,656</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,078,795</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.32%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">6/24/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,886,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,897,134</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">9/30/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,568,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,579,322</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/22/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,825,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,830,395</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/22/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,559,100</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,572,974</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/22/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,119,906</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,126,357</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank Securities, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/31/13</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,829,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,840,354</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.28%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,396,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,401,335</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.32%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">696,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">697,250</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.32%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">343,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">343,616</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.32%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,355,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,357,433</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.32%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,416,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,418,543</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.33%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,349,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,351,498</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.33%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,124,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,126,081</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">779,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">780,486</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">753,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">754,437</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,716,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,723,089</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TABLE>
<!-- agabop mode="frill" last-style="table" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">51<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 39 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 40 -->
<DIV align=left>
<!-- agabop mode="main" last-style="table" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income
Opportunity Trust, Inc. (BNA)<BR>&nbsp;<BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Reverse repurchase agreements outstanding as of August 31, 2014 were as follows (concluded):</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: left; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Counterparty<BR></B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT"
></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Interest<BR> Rate</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Trade<BR> Date</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Maturity<BR>
Date<SUP>1</SUP></B></B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Face Value</B></B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Face Value<BR> Including<BR>
Accrued<BR> Interest</B></B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">844,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">845,610</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">886,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">887,690</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">995,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">996,954</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.40%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/10/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">496,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">497,113</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">RBC
Capital Markets, LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.11%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3/13/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,037,500</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,039,907</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank Securities, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.11%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/16/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,300,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,300,545</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank Securities, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4/21/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,090,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,092,612</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank Securities, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/13/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">931,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">931,967</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank Securities, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/13/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">670,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">670,696</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank Securities, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/13/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">873,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">873,907</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.32%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/14/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,605,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,606,569</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/14/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">845,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">845,878</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/14/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">793,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">793,824</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/14/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,172,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,173,218</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/14/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">832,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">832,890</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.37%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/14/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,109,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,110,254</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">UBS
Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.40%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/14/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,870,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,874,730</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Capital, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/14/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,008,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,009,709</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Capital, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/14/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,252,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,253,289</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Capital, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/14/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">354,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">354,397</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Capital, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.35%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/14/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,782,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,783,834</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.01%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5/20/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,521,875</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,522,485</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Capital, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD STYLE="text-align: right; vertical-align: middle">(</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">1.75)%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">6/25/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,107,160</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,103,500</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank Securities, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.07%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/3/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,431,625</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,431,260</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.08%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/7/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">9,478,375</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">9,479,533</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.08%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/7/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,535,488</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,535,797</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.10%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/7/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">145,540</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">145,562</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.32%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/7/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,282,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,283,116</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.32%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/7/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">490,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">490,240</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.33%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/7/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,300,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,301,160</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.33%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/7/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">968,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">968,488</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.33%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/7/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,780,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,781,402</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/7/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,162,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,163,123</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/7/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,069,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,069,555</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/7/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">853,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">853,443</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/7/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,823,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,823,947</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.09%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/8/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,112,750</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,113,364</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.08%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/8/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,935,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,935,290</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">RBC
Capital Markets, LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.34%</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/17/14</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,656,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,656,719</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">0.14%</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">8/12/14</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">9/11/14</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">11,372,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">11,372,885</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">171,292,262</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">171,566,571</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>1</SUP></FONT></TD>
     <TD STYLE="width: 5pt; text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Certain agreements have no stated maturity and can
be terminated by either party at any time.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>



<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Financial futures contracts outstanding as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>

<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Contracts<BR> Purchased/<BR>
(Sold)</B></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Issue</B></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Exchange</B></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Expiration</B></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="4" STYLE="border-top: Black 1pt solid; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B><B>Notional<BR> Value</B></B></FONT></TD>
    <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Unrealized<BR> Appreciation<BR>
(Depreciation)</B></B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: center; width: 20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">65</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Long U.S. Treasury Bond</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Board of Trade</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">December 2014</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; width: 6%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">9,106,094</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; padding-right: 4"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; padding-right: 4"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">33,565</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">120</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Ultra Long U.S. Treasury Bond</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Board of Trade</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">December 2014</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">18,660,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD COLSPAN="2" NOWRAP STYLE="text-align: right; padding-right: 4"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px">143,270</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">48</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2-Year U.S. Treasury Note</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Board of Trade</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">December 2014</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">10,514,250</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD COLSPAN="2" NOWRAP STYLE="text-align: right; padding-right: 4"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">4,903</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(186)</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">5-Year U.S. Treasury Note</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Chicago Board of Trade</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">December 2014</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">22,103,484</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD COLSPAN="2" NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">(27,711)</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(242)</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">10-Year U.S. Treasury Note</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Chicago Board of Trade</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">December 2014</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">30,439,063</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD COLSPAN="2" NOWRAP STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">(88,508)</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right; padding-right: 4"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right; padding-right: 4"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">65,519</FONT></TD>
</TABLE>


<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Forward foreign currency exchange contracts outstanding as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP COLSPAN="2" STYLE="text-align: left; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Currency Purchased<BR></B><HR SIZE="1" NOSHADE ALIGN="LEFT" STYLE="color: #000000"></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B><B>Currency Sold</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Counterparty</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Settlement<BR> Date</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B><B>Unrealized<BR> Appreciation</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">USD</DIV></FONT></TD>
     <TD STYLE="text-align: right; width: 10%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,467,443</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">EUR</DIV></FONT></TD>
     <TD STYLE="text-align: right; width: 10%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,824,000</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">JPMorgan Chase Bank N.A.</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/21/14</DIV></FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">70,090</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">11,244,889</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">GBP</DIV></FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">6,581,000</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Bank of America N.A.</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">10/21/14</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">323,686</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">&nbsp;</DIV></FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">393,776</FONT></TD>
</TABLE>

<!-- agabop mode="frill" last-style="table" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">52</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 41 -->
<DIV align=left>
<!-- agabop mode="main" last-style="table" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income
Opportunity Trust, Inc. (BNA)<BR>&nbsp;<BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
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     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">OTC
interest rate swaptions purchased as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
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     <TD NOWRAP STYLE="text-align: left; padding-left: -10pt; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Description</B></FONT><FONT STYLE="font-size: 8pt"><BR><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT"
></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Counterparty</B></FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Put/</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Call</B></FONT><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Exercise</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Rate</B></FONT><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Pay/Receive</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Exercise Rate</B></FONT><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Floating
     Rate</B></FONT><FONT STYLE="font-size: 8pt"><BR><FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B> Index</B></FONT><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Expiration</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Date</B></FONT><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Notional</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Amount</B></FONT><BR><FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>
     (000)</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Market</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Value</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; padding-left: -10pt; width: 40%"><DIV STYLE="margin-left: 0; text-indent: 0"><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 2%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Credit Suisse International</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 4%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Call</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 4%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">2.40%</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 4%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 4%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 4%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">9/02/14</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 4%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; width: 2%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; width: 6%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,200</FONT></TD>
     <TD NOWRAP STYLE="width: 4%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 2%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,654</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; padding-left: -10pt"><DIV STYLE="margin-left: 0; text-indent: 0"><FONT STYLE="font-size: 8pt">30-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Deutsche Bank AG</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Call</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3.30%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">5/22/17</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,400</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">374,653</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; padding-left: -10pt"><DIV STYLE="margin-left: 0; text-indent: 0"><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Credit Suisse International</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3.45%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">9/02/14</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">67,200</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; padding-left: -10pt"><DIV STYLE="margin-left: 0; text-indent: 0"><FONT STYLE="font-size: 8pt">1-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Bank of America N.A.</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">0.60%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">10/02/14</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,950</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">27</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; padding-left: -10pt"><DIV STYLE="margin-left: 0; text-indent: 0"><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Barclays Bank PLC</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4.55%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4/25/17</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,400</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">147,464</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; padding-left: -10pt"><DIV STYLE="margin-left: 0; text-indent: 0"><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">JPMorgan Chase Bank N.A.</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4.60%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4/28/17</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,400</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">141,661</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; padding-left: -10pt"><DIV STYLE="margin-left: 0; text-indent: 0"><FONT STYLE="font-size: 8pt">30-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Deutsche Bank AG</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">4.30%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">5/22/17</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,400</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">147,826</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid; padding-left: -10pt"><DIV STYLE="margin-left: 0; text-indent: 0"><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">Deutsche Bank AG</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">4.50%</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">3-month LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">5/22/18</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,000</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">140,914</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; padding-left: -10pt"><DIV STYLE="margin-left: -20pt; text-indent: 0px"><FONT STYLE="font-size: 8pt"><B>Total</B><BR></FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;954,199</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">OTC
interest rate swaptions written as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Description</B></FONT><FONT STYLE="font-size: 8pt"><BR><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT"
></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Counterparty</B></FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Put/</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Call</B></FONT><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Exercise</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Rate</B></FONT><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Pay/Receive</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Exercise Rate</B></FONT><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Floating Rate</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Index</B></FONT><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Expiration</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Date</B></FONT><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Notional</B></FONT><FONT STYLE="font-size: 8pt"><BR> <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Amount</B></FONT><BR> <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Market</B></FONT><FONT STYLE="font-size: 8pt"><BR> <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Value</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; width: 40%"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 4%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; width: 10%"><DIV><FONT STYLE="font-size: 8pt">Credit
                                         Suisse International</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 4%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Call</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 4%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">2.60%</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 4%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 4%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 4%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">9/02/14</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 4%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; width: 2%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; width: 6%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,200</FONT></TD>
     <TD NOWRAP STYLE="width: 4%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 2%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(104,844</FONT></TD>
     <TD NOWRAP STYLE="width: 0%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">JPMorgan
                                         Chase Bank N.A.</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Call</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3.25%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">11/14/14</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,300</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(390,536</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Barclays
                                         Bank PLC</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Call</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3.26%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">11/14/14</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,300</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(393,335</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Deutsche
                                         Bank AG</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Call</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">2.85%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">11/17/14</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,500</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(212,942</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Deutsche
                                         Bank AG</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Call</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">2.80%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">2/10/15</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,500</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(62,117</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">JPMorgan
                                         Chase Bank N.A.</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Call</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">2.50%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">5/22/15</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,000</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(152,889</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Deutsche
                                         Bank AG</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Call</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3.10%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">2/26/16</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,000</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(241,173</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Deutsche
                                         Bank AG</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Call</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3.15%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Pay</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3/17/16</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,000</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(256,324</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Credit
                                         Suisse International</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3.10%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">9/02/14</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,200</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Deutsche
                                         Bank AG</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">2.80%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">9/15/14</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,700</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(416</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">JPMorgan
                                         Chase Bank N.A.</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3.25%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">11/14/14</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,300</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(2,072</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Barclays
                                         Bank PLC</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3.26%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">11/14/14</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,300</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(2,015</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Deutsche
                                         Bank AG</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3.70%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">11/17/14</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,500</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(256</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Barclays
                                         Bank PLC</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3.15%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">11/24/14</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,000</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(4,160</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Deutsche
                                         Bank AG</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3.80%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">2/10/15</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,500</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(1,384</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Bank
                                         of America N.A.</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3.70%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">2/25/15</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,500</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(1,497</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Barclays
                                         Bank PLC</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3.65%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">4/15/15</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,100</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(2,520</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Deutsche
                                         Bank AG</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3.65%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">4/15/15</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">900</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(2,062</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Citibank
                                         N.A.</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3.65%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">4/15/15</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,000</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(2,291</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">JPMorgan
                                         Chase Bank N.A.</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3.50%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">5/22/15</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,000</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(56,968</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Deutsche
                                         Bank AG</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">4.15%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">2/26/16</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,000</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(44,377</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Citibank
                                         N.A.</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">4.15%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">2/29/16</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,000</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(44,771</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Deutsche
                                         Bank AG</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">4.05%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">4/18/16</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,600</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(16,335</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Barclays
                                         Bank PLC</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">4.05%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">4/18/16</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,700</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(17,355</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Goldman
                                         Sachs Bank USA</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">4.05%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">4/18/16</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,700</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(17,355</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Citibank
                                         N.A.</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">4.05%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">4/25/16</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,000</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(52,239</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">BNP
                                         Paribas S.A.</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">4.10%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">4/25/16</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,600</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(35,272</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Barclays
                                         Bank PLC</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">4.05%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">4/25/17</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,500</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(191,317</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">10-Year
                                         Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">JPMorgan
                                         Chase Bank N.A.</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">4.10%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">4/28/17</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,500</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(183,667</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid"><DIV><FONT STYLE="font-size: 8pt">10-Year Interest Rate Swap</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><DIV><FONT STYLE="font-size: 8pt">Deutsche
                                         Bank AG</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><DIV><FONT STYLE="font-size: 8pt">Put</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><DIV><FONT STYLE="font-size: 8pt">6.00%</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><DIV><FONT STYLE="font-size: 8pt">Receive</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><DIV><FONT STYLE="font-size: 8pt">3-month
                                         LIBOR</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><DIV><FONT STYLE="font-size: 8pt">5/22/18</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,000</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(95,847</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt"><B>Total</B><BR></FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(2,588,336</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; padding-bottom: 2pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>



<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Centrally cleared interest rate swaps outstanding as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Fixed<BR> Rate</B></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Floating<BR> Rate</B></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Clearinghouse</B></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Effective<BR> Date</B></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Expiration<BR> Date</B></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B><B>Notional<BR> Amount<BR> (000)</B></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B><B>Unrealized<BR> Appreciation<BR> (Depreciation)</B></B></FONT> <FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>0.56%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>N/A</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>6/25/15</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">20,900</FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; width: 2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;(45,712</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>1.69%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>10/03/14<SUP>2</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>11/30/18</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">10,300</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(36,331</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3.97%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>4/25/19<SUP>2</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>4/25/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,900</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(144,799</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.77%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>4/29/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">400</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(10,851</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.65%<SUP>2</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>6/30/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,800</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">72,263</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.62%<SUP>2</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>7/01/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">500</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,132</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.65%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>7/18/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,600</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(38,543</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.59%<SUP>2</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>7/22/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,300</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">21,390</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.62%<SUP>3</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>7/24/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,100</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">36,045</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.63%<SUP>3</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>8/07/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">12,859</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.59%<SUP>3</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>8/08/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">9,132</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.59%<SUP>3</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>8/08/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,000</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">8,815</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.58%<SUP>3</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>8/11/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">500</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,151</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TABLE>
<!-- agabop mode="frill" last-style="table" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">53<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 41 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 42 -->
<DIV align=left>
<!-- agabop mode="main" last-style="table" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income
Opportunity Trust, Inc. (BNA)<BR>&nbsp;<BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Centrally cleared interest rate swaps outstanding as of August 31, 2014 were as follows (concluded):</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Fixed<BR> Rate</B></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Floating<BR> Rate</B></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Clearinghouse</B></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Effective<BR> Date</B></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Expiration<BR> Date</B></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B><B>Notional<BR> Amount<BR> (000)</B></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B><B>Unrealized<BR> Appreciation<BR> (Depreciation)</B></B></FONT> <FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.58%<SUP>3</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>N/A</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>8/11/24</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">500</FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; width: 2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,993</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.57%<SUP>3</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>8/11/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">500</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,335</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.57%<SUP>3</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>8/11/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">500</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,403</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.55%<SUP>3</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>8/12/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">500</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,506</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.55%<SUP>3</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>8/12/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">500</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,596</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.56%<SUP>3</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>8/22/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,300</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">26,762</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.55%<SUP>3</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>8/27/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,800</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">22,372</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.49%<SUP>3</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>9/02/24</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">500</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(2,634</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3.19%<SUP>3</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>4/22/15<SUP>2</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>4/22/25</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,400</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">102,245</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2.97%<SUP>3</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>6/03/15<SUP>2</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>6/03/25</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,100</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">21,179</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3.65%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>N/A</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>2/27/44</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,500</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(299,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3.65%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>4/22/15<SUP>2</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>4/22/45</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,100</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(110,336</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt"><DIV>3.47%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>Chicago Mercantile</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>6/03/15<SUP>2</SUP></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>6/03/45</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>USD</DIV></FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">500</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(29,810</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV><B>Total<BR></B></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV>&nbsp;</DIV></FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(358,838</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Trust pays the fixed rate and receives the floating
rate.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Forward swap.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Trust receives the fixed rate and pays the floating
rate.</FONT></TD>
</TR>
</TABLE>


<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">OTC
credit default swaps &#151; buy protection outstanding as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Issuer</B></FONT><FONT STYLE="font-size: 8pt"><BR><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT"
></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Pay</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Fixed</B></FONT><BR><FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>
     Rate</B></FONT><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Counterparty</B></FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Expiration</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Date</B></FONT><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Notional</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Amount</B></FONT><BR><FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>
     (000)</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Market</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Value</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Premiums</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Paid</B></FONT> <FONT STYLE="font-family: Arial, Helvetica, sans-serif">&nbsp;</FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></FONT></TD>
    <TD STYLE="border-top: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Unrealized</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Depreciation</B></FONT><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
    <TD STYLE="border-top: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; width: 22.5%"><DIV><FONT STYLE="font-size: 8pt">Radian
                                         Group, Inc.</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right; width: 5%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5.00</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; width: 5%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">%&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV><FONT STYLE="font-size: 8pt">Citibank
                                         N.A.<BR></FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right; width: 5%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6/20/15</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; width: 5%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,400</FONT></TD>
     <TD NOWRAP STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; width: 5%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(49,098</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; width: 5%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; width: 2%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">13,035</FONT></TD>
     <TD NOWRAP STYLE="text-align: left; width: 5%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; width: 3%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; width: 3%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(62,133</FONT></TD>
     <TD NOWRAP STYLE="width: 5%"><FONT STYLE="font-size: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid"><DIV><FONT STYLE="font-size: 8pt">The New York Times Co.</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1.00</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">%&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><DIV><FONT STYLE="font-size: 8pt">Barclays
                                         Bank PLC<BR></FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12/20/16</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">USD</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,800</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(19,416</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">57,942</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="border-bottom: Black 1pt solid"><DIV STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(77,358</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="2"><DIV><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt"><B>Total</B><BR></FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><DIV><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
    <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(68,514</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;70,977</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(139,491</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">)&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">OTC
credit default swaps &#151; sold protection outstanding as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Issuer</B></FONT><FONT STYLE="font-size: 8pt"><BR><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT"
></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Receive</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Fixed</B></FONT><BR><FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>
     Rate</B></FONT><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Counterparty</B></FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Expiration</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Date</B></FONT><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Credit</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Rating<SUP>4</SUP></B></FONT><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Notional</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Amount</B></FONT><BR><FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>
     (000)<SUP>5</SUP></B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Market</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Value</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Premiums</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Received</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Unrealized</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Appreciation</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">MetLife, Inc.</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">1.00%</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Morgan Stanley Capital Services LLC</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">9/20/16</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">A-</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; padding-left: 4pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">910</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; width: 2%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">14,641</FONT></TD>
     <TD NOWRAP STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; width: 6%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(30,767</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">45,408</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">MetLife, Inc.</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">1.00%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Deutsche Bank AG</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">9/20/16</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">A-</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; padding-left: 4pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">730</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,745</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(25,168</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">36,913</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">MetLife, Inc.</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">1.00%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Morgan Stanley Capital Services LLC</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">9/20/16</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">A-</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; padding-left: 4pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">275</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,424</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(8,293</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,717</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">MetLife, Inc.</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">1.00%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Goldman Sachs Bank USA</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">9/20/16</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">A-</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; padding-left: 4pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">500</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,044</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(16,778</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">24,822</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">MetLife, Inc.</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">1.00%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Credit Suisse International</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">9/20/16</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">A-</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; padding-left: 4pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">545</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,768</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(20,548</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">29,316</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">MetLife, Inc.</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">1.00%</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Citibank N.A.</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">12/20/16</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">A-</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; padding-left: 4pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">298</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,130</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(9,981</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">15,111</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">MetLife, Inc.</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">1.00%</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">Citibank N.A.</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">12/20/16</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">A-</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">USD</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid; padding-left: 4pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">290</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,981</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(10,642</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">15,623</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; padding-left: 4pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt"><B>Total</B><BR></FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; padding-left: 4pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;57,733</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(122,177</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;179,910</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>4</SUP></FONT></TD>
     <TD STYLE="width: 5pt">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Using S&amp;P&#146;s rating of the
issuer.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>5</SUP></FONT></TD>
     <TD STYLE="width: 5pt">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">The maximum potential amount the Trust may pay
should a negative credit event take place as defined under terms of the agreements.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>



<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">For
Trust compliance purposes, the Trust&#146;s industry classifications refer to any one or more of the industry sub-classifications used by one or more
widely recognized market indexes or rating group indexes, and/or as defined by investment advisor. These definitions may not apply for purposes of this
report, which may combine such industry sub-classifications for reporting ease.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Fair
Value Measurements &#151; Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to
valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as
follows:</DIV></FONT></TD>
</TABLE>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&#149;</TD>
     <TD STYLE="padding-top: 6pt; text-align: left; padding-left: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Level 1 &#151; unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to
access</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; padding-top: 6pt"></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&#149;</TD>
     <TD COLSPAN="1" STYLE="padding-top: 6pt; text-align: left; padding-left: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Level 2 &#151; other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active,
quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for
the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or
other market-corroborated inputs)</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"></FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&#149;</TD>
     <TD COLSPAN="1" STYLE="padding-top: 6pt; text-align: left; padding-left: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Level 3 &#151; unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available
(including the Trust&#146;s own assumptions used in determining the fair value of investments and derivative financial instruments)</DIV></FONT></TD>
</TABLE>

<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">The
hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the
lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for
instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases,
for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value
measurement in its entirety.</DIV></FONT></TD>
<!-- table_boopfix mode="frill" -->
</TR>
</TABLE>
<!-- agabop mode="frill" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">54</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 42 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 43 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income
Opportunity Trust, Inc. (BNA)<BR>&nbsp;<BR></FONT></B></TD></TR></TABLE></DIV>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt"></TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the
Trust&#146;s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the
reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of
the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For
information about the Trust&#146;s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes
to Financial Statements.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">The
following tables summarize the Trust&#146;s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31,
2014:</DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 1</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 2</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 3</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Total</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 35%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Assets:<BR></B></DIV></FONT></TD>
     <TD STYLE="width: 1%">&nbsp;</TD>
     <TD STYLE="width: 1%">&nbsp;</TD>
     <TD STYLE="width: 1%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Investments:<BR></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Long-Term Investments:<BR></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Asset-Backed Securities </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">17,676,727</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">8,793,910</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">26,470,637</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Corporate Bonds </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">314,189,017</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">8,787,420</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">322,976,437</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Foreign Agency Obligations </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,456,621</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,456,621</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Municipal Bonds </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">12,786,140</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">12,786,140</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Non-Agency Mortgage-Backed Securities </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">62,160,814</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">16</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">62,160,830</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Preferred Securities </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,059,541</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">46,519,562</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">53,579,103</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">U.S. Government Sponsored Agency Securities </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">53,967,316</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">533</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">53,967,849</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">U.S. Treasury Obligations </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">54,746,992</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">54,746,992</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Short-Term Securities </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,425,318</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,425,318</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Options Purchased:<BR></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Interest Rate Contracts </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">954,199</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">954,199</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Total<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">10,484,859</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">570,457,388</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">17,581,879</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;598,524,126</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 1</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 2</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 3</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Total</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 35%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Derivative Financial Instruments<SUP>1</SUP><BR></DIV></FONT></TD>
     <TD STYLE="width: 1%">&nbsp;</TD>
     <TD STYLE="width: 1%">&nbsp;</TD>
     <TD STYLE="width: 1%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%; text-align: center">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Assets:<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="text-align: center">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Credit contracts </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">179,910</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">179,910</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Foreign currency exchange contracts </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">393,776</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">393,776</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Interest rate contracts </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">181,738</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">359,178</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">540,916</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Liabilities:<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="text-align: center">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Credit contracts </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(139,491</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(139,491</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Interest rate contracts </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(116,219</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(3,306,352</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(3,422,571</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Total<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;65,519</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;(2,512,979</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;(2,447,460</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Derivative financial instruments are swaps,
financial futures contracts, forward foreign currency exchange contracts, and options written. Swaps, financial futures contracts and foreign currency
exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at value.</FONT></TD>
</TR>
</TABLE>

<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">There were no transfers between Level 1 and Level 2 during the year ended August 31, 2014.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">The
Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31,
2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:</DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 1</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 2</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 3</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Total</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 35%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Assets:<BR></B></DIV></FONT></TD>
     <TD STYLE="width: 1%">&nbsp;</TD>
     <TD STYLE="width: 1%">&nbsp;</TD>
     <TD STYLE="width: 1%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%; text-align: center">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Cash pledged for centrally cleared swaps </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">515,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">515,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Cash pledged as collateral for reverse repurchase agreements </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,984,142</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,984,142</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Cash pledged as collateral for OTC derivatives </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">590,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">590,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Cash pledged for financial futures contracts </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">226,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">226,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Foreign currency at value </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">304,703</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">304,703</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Liabilities:<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="text-align: center">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Bank overdraft </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(48,720</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(48,720</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Cash received as collateral for reverse repurchase agreements </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(2,162,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(2,162,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Reverse repurchase agreements </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(171,566,571</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(171,566,571</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Total<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;3,619,845</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(173,777,291</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(170,157,446</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TABLE>
<!-- agabop mode="ep" last-style="table" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">55<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 43 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 44 -->
<DIV align=left>
<!-- agabop mode="main" last-style="table" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (concluded)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income
Opportunity Trust, Inc. (BNA)<BR>&nbsp;<BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">A
reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the
period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in
determining fair value:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 37.5%; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Common</B></FONT><BR>
     <FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Stocks</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Asset-Backed</B></FONT><BR>
     <FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Securities</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Corporate</B></FONT><BR>
     <FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Bonds</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Non-Agency</B></FONT><BR>
     <FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Mortgage-Backed</B></FONT><BR>
     <FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Securities</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>US
     Government</B></FONT><BR>
     <FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Sponsored</B></FONT><BR>
     <FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Agency Securities</B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Total</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="37.5%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt"><B>Assets:</B><BR></FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="37.5%"><DIV STYLE="margin-left: 10px; text-indent: -10px"><FONT STYLE="font-size: 8pt">Opening Balance, as of August 31, 2013</FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">396,800</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,488,482</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,294,250</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">25</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">717</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">17,180,274</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="37.5%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Transfers into Level 3</FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="37.5%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Transfers out of Level 3<SUP>1</SUP></FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(6,442,285</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(6,442,285</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="37.5%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Accrued discounts/premiums</FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(326,626</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(326,627</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="37.5%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Net realized gain</FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">430,152</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">37,567</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">467,719</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="37.5%"><DIV STYLE="margin-left: 10px; text-indent: -10px"><FONT STYLE="font-size: 8pt">Net change in unrealized appreciation/depreciation<SUP>2,3</SUP></FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(396,800</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">289,291</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">228,061</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(9</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(183</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">120,360</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="37.5%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Purchases</FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,243,356</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,265,109</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5%><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,508,465</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="37.5%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">Sales</FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(430,152</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt' nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(3,495,875</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(3,926,027</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="37.5%"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt"><B>Closing Balance, as of August 31, 2014</B><BR></FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid' nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,793,910</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,787,420</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">16</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">533</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">17,581,879</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="37.5%"><DIV STYLE="margin-left: 10px; text-indent: -10px"><FONT STYLE="font-size: 8pt">Net change in unrealized appreciation/depreciation on investments held as of August 31, 2014<SUP>3</SUP></FONT></DIV></FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid' nowrap><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">284,059</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">228,061</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(9</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(183</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">511,928</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">As of August 31, 2013, the Trust used significant
unobservable inputs in determining the value of certain investments. As of August 31, 2014, the Trust used observable inputs in determining the value
of the same investments. As a result, investments with a beginning of period value of $6,442,285 transferred from Level 3 to Level 2 in the disclosure
hierarchy.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Included in the related net change in unrealized
appreciation/depreciation in the Statements of Operations.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Any difference between Net change in unrealized
appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments held as of August 31, 2014 is generally due to
investments no longer held or categorized as level 3 at period end.</FONT></TD>
</TR>
</TABLE>


<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-top: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt">&nbsp;</TD>
     <TD STYLE="padding-top: 6pt" ALIGN="LEFT" COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">The
Trust&#146;s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are
based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such
Level 3 investments.</DIV></FONT></TD>
</TR></TABLE>
<!-- agabop mode="frill" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">56</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 45 -->



<!-- Field: Split-Segment; Name: soi3 -->



<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments</FONT><FONT color=gray STYLE="font-size:
10pt">&nbsp;August 31, 2014</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income Trust,
Inc. (BKT)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- agabop mode="ep" last-style="soi_footnote" --><!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM"></FONT><TD NOWRAP COLSPAN="4" STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Asset-Backed Securities</B></FONT>   <FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Asset Backed Securities &#151; 0.8%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">First Franklin Mortgage Loan Trust, Series 2005-FF2, Class M2, 0.82%, 3/25/35 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;1,600</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;1,598,261</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Securitized Asset Backed Receivables LLC Trust, Series 2005-OP2, Class M1, 0.59%, 10/25/35
                                  (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,875</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,636,687</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Small Business Administration Participation Certificates, Class 1:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1996-20E, 7.60%, 5/01/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">41</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">42,525</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1996-20G, 7.70%, 7/01/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">40</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">41,645</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1996-20H, 7.25%, 8/01/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">47</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">48,339</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1996-20K, 6.95%, 11/01/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">134</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">139,480</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1997-20C, 7.15%, 3/01/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">51</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">53,476</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,560,413</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="6" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Interest Only Asset Backed Securities &#151; 0.1%</B></FONT></DIV>
</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Small Business Administration, Series 2000-1, 1.00%, 4/01/15</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">603</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,275</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,704</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">196,016</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sterling Coofs Trust, Series 2004-1, Class A, 2.00%, 4/15/29 (b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,190</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">425,581</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">626,872</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Total Asset-Backed Securities &#151; 0.9%</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,187,285</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Non-Agency Mortgage-Backed Securities</B></FONT></DIV>
</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="6" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Collateralized Mortgage Obligations &#151; 1.0%</B></FONT></DIV>
</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Collateralized Mortgage Obligation Trust, Series 40, Class R, 580.48%, 4/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">34</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">35</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Deutsche Securities, Inc. Mortgage Alternate Loan Trust, Series 2006-AR5, Class 22A, 5.50%,
                                  10/25/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">433</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">424,399</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Homebanc Mortgage Trust, Series 2005-4, Class A1, 0.43%, 10/25/35 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,367</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,125,706</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, 16.33%, <BR>8/25/23 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">44</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">49,217</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Residential Funding Securities LLC, Series 2003-RM2, Class AI5, 8.50%, 5/25/33</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">892</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">944,903</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Structured Adjustable Rate Mortgage Loan Trust, Series 2004-11, Class A, 2.53%, 8/25/34 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,039</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,040,706</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,584,966</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Commercial Mortgage-Backed Securities &#151; 0.5%</B></FONT></DIV></FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Credit Suisse Commercial Mortgage Trust, Series 2007-C2,
                                         Class A3, 5.54%, 1/15/49 (a)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,420</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,626,559</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="10" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Interest Only Collateralized Mortgage Obligations &#151; 0.7%</B></FONT></DIV>
</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Bank of America Mortgage Securities, Inc., Series 2003-3, Class 1A, 0.00%, 5/25/33 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">25,607</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">240,012</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 5/25/37</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">643</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">160,321</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">First Boston Mortgage Securities Corp., Series C, 10.97%, 4/25/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">321</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">GSMPS Mortgage Loan Trust, Series 1998-5, 0.00%, 6/19/27 (a)(b)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,959</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">30</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, Class 4AX, 0.17%, 1/25/37</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">66,451</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">172,173</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3AX, 0.98%, 4/25/34 (c)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,398</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">82,074</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">MASTR Alternative Loans Trust, Series 2003-9, Class 15X2, 6.00%, 1/25/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">228</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">28,695</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD COLSPAN="4" NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Non-Agency Mortgage-Backed Securities</B></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Interest Only Collateralized Mortgage Obligations (concluded)</B></FONT></DIV>
</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 1AX, 5.00%, 5/25/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 3%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 12%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;226</FONT></TD>
     <TD NOWRAP STYLE="width: 3%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 3%; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 12%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;15,653</FONT></TD>
     <TD NOWRAP STYLE="width: 3%; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Sequoia Mortgage Trust, Series 2005-2, Class XA, 0.00%, 3/20/35 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">34,199</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">550,389</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 3AS, 4.70%, 8/25/36 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">17,034</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,076,051</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Vendee Mortgage Trust, Series 1999-2, Class 1, 0.00%, 5/15/29 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">37,576</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">38</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,325,757</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Principal Only Collateralized Mortgage Obligations &#151; 0.2%</B></FONT></DIV>
</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Countrywide Home Loan Mortgage Pass-Through Trust (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2003-J5, 0.00%, 7/25/33</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">202</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">179,334</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2003-J8, 0.00%, 9/25/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">121</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">108,358</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Drexel Burnham Lambert CMO Trust, Class 1 (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series K, 0.00%, 9/23/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,661</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series V, 0.00%, 9/01/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,018</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 0.00%, 2/25/36 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">515</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">340,438</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Structured Mortgage Asset Residential Trust, Series 1993-3C, Class CX, 0.00%, 4/25/24 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,291</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-9, Class CP,
                                         0.00%, 11/25/35 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">222</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">156,689</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">795,789</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Total Non-Agency Mortgage-Backed Securities
     &#151; 2.4%</B></FONT></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,333,071</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="7" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>U.S. Government Sponsored Agency Securities</B></FONT></DIV>
</TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Agency Obligations &#151; 2.5%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Federal Housing Administration:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">USGI Projects, Series 99, 7.43%, 6/01/21&#150;10/01/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,590</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,491,131</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Reilly Projects, Series 41, 8.28%, 3/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">122</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">120,396</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Resolution Funding Corp., 0.00%, 4/15/30 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">13,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,885,150</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,496,677</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="10" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Collateralized Mortgage Obligations &#151; 63.1%</B></FONT></DIV>
</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Fannie Mae Mortgage-Backed Securities:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2014-28, Class BD, 3.50%, 1/25/42&#150;8/25/43</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">24,285</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">25,194,360</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2011-117, Class CP, 4.00%, 12/25/40&#150;11/25/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">17,410</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">18,993,586</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2011-99, Class CB, 4.50%, 10/25/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">43,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">48,350,232</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2010-47, Class JB, 5.00%, 5/25/30</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,244,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2003-135, Class PB, 6.00%, 1/25/34</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,264</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">13,757,449</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2004-31, Class ZG, 7.50%, 5/25/34</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,969</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,610,998</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1993-247, Class SN, 10.00%, 12/25/23 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">191</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">234,620</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2005-73, Class DS, 17.15%, 8/25/35 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,419</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,772,474</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1991-87, Class S, 26.27%, 8/25/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">22</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">32,131</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series G-49, Class S, 1,018.68%, 12/25/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(e)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">613</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series G-17, Class S, 1,064.92%, 6/25/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">105</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,647</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series G-33, Class PV, 1,078.42%, 10/25/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">106</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,048</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series G-07, Class S, 1,127.09%, 3/25/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(e)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,809</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1991-46, Class S, 2,483.51%, 5/25/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">55</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,347</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">57<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 45 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 46 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income Trust,
Inc. (BKT)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM"></FONT><TD COLSPAN="4" STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>U.S. Government Sponsored Agency Securities</B></FONT></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>Collateralized Mortgage Obligations (concluded)</B></FONT></DIV></FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Freddie Mac Mortgage-Backed Securities:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series T-11, Class A9, 2.87%, 1/25/28 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,403</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;1,447,887</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 4242, Class PA, 3.50%, 5/15/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,109</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,540,411</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 4016, Class BX, 4.00%, 11/15/40&#150;9/15/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">26,292</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">27,779,550</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 4316, Class VB, 4.50%, 8/15/32&#150;3/15/34</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">20,787</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">23,135,875</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 3856, Class PB, 5.00%, 5/15/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,624,290</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2927, Class BZ, 5.50%, 5/15/23&#150;2/15/35</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,076</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,163,196</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2542, Class UC, 6.00%, 12/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,266</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,606,946</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 0040, Class K, 6.50%, 8/17/24</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">187</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">210,787</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2218, Class Z, 8.50%, 3/15/20&#150;3/15/30</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,112</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,657,807</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 0173, Class R, 9.00%, 11/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 0173, Class RS, 9.34%, 11/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(e)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 0075, Class R, 9.50%, 1/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(e)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2861, Class AX, 10.57%, 9/15/34 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">51</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">54,099</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1160, Class F, 39.50%, 10/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">20,973</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 0075, Class RS, 50.25%, 1/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(e)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1057, Class J, 1,008.00%, 3/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">43</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">584</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 0192, Class U, 1,009.03%, 2/15/22 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">23</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 0019, Class R, 16,324.45%, 3/15/20 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">447</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ginnie Mae Mortgage-Backed Securities:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2010-099, Class JM, 3.75%, 12/20/38</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">19,300</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">20,154,295</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2011-88, Class PY, 4.00%, 1/20/39&#150;6/20/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">51,891</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">54,908,163</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2004-89, Class PE, 6.00%, 10/20/34</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">679</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">716,320</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1996-5, Class Z, 7.00%, 5/16/26</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">307</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">343,897</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">293,563,980</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="10" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Interest Only Collateralized Mortgage Obligations &#151; 4.2%</B></FONT></DIV>
</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Fannie Mae Mortgage-Backed Securities:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1997-50, Class SI, 1.20%, 4/25/23 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">176</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,606</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series G92-60, Class SB, 1.60%, 10/25/22 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">114</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,997</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2013-45, Class EI, 4.00%, 2/25/27&#150;4/25/43</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">24,799</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,243,298</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2010-74, Class DI, 5.00%, 12/25/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,454</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,137,288</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1997-90, Class M, 6.00%, 1/25/28</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,554</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">457,468</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1999-W4, 6.50%, 12/25/28</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">170</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">27,966</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2011-124, Class GS, 6.55%, 3/25/37 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">16,672</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,334,914</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1993-199, Class SB, 7.22%, 10/25/23 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">203</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">16,534</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 089, Class 2, 8.00%, 10/25/18</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">234</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 007, Class 2, 8.50%, 4/25/17</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">166</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series G92-05, Class H, 9.00%, 1/25/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">27</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,469</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 094, Class 2, 9.50%, 8/25/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">271</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1990-136, Class S, 19.92%, 11/25/20 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">6,843</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,599</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1991-139, Class PT, 648.35%, 10/25/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">118</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,211</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1991-099, Class L, 930.00%, 8/25/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">51</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">652</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1990-123, Class M, 1,009.50%, 10/25/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">152</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series G92-12, Class C, 1,016.90%, 2/25/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">101</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,030</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series G-10, Class S, 1,090.36%, 5/25/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">288</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,031</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series G-12, Class S, 1,157.49%, 5/25/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">205</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,074</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P><!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD COLSPAN="4" STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>U.S. Government Sponsored Agency Securities</B></FONT></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="10" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Interest Only Collateralized Mortgage Obligations (concluded)</B></FONT></DIV>
</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Freddie Mac Mortgage-Backed Securities:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2559, 0.50%, 8/15/30 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">79</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">968</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 3744, Class PI, 4.00%, 1/15/35&#150;6/15/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">42,473</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,722,955</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 4026, 4.50%, 4/15/32</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,107</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">880,171</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2611, Class QI, 5.50%, 9/15/32</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,512</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">164,035</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1043, Class H, 44.31%, 2/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,199</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,156</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1054, Class I, 868.03%, 3/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">40</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">738</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 0176, Class M, 1,010.00%, 7/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">17</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">316</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1056, Class KD, 1,084.50%, 3/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">28</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">452</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1148, Class E, 1,178.74%, 10/15/21 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">77</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,372</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 0200, Class R, 198,052.81%, 12/15/22 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">682</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ginnie Mae Mortgage-Backed Securities (a):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2009-116, Class KS, 6.32%, 12/16/39</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,756</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">427,784</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2011-52, Class MJ, 6.49%, 4/20/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">15,479</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,078,266</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2011-52, Class NS, 6.52%, 4/16/41</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">17,234</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,161,893</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">19,703,748</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="5" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Mortgage-Backed Securities &#151; 86.3%</B></FONT></DIV>
</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Fannie Mae Mortgage-Backed Securities:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.00%, 1/01/43 (f)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">28,523</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">28,482,853</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">3.50%, 10/01/42&#150;9/01/44 (f)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">35,277</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">36,351,638</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.00%, 1/01/41&#150;9/01/42 (f)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">33,413</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">35,455,671</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.50%, 8/01/25&#150;9/01/44 (f)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">98,139</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">106,990,282</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 1/01/23&#150;9/01/44 (f)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">77,766</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">86,183,840</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.50%, 9/01/29&#150;10/01/39 (f)(g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">37,743</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">41,578,939</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.97%, 8/01/16</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,931</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,155,417</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.00%, 9/01/44&#150;10/01/44 (g)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">43,600</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">49,128,343</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">6.50%, 12/01/37&#150;10/01/39 (f)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">11,303</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">12,788,854</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 2/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(e)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">63</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.50%, 1/01/19&#150;9/01/19</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,873</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Freddie Mac Mortgage-Backed Securities:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">2.48%, 1/01/35 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">184</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">186,558</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">2.51%, 11/01/17 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,368</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">2.55%, 10/01/34 (a)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">200,289</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 2/01/22&#150;4/01/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">335</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">363,812</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.00%, 9/01/20</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">19</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">20,685</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Ginnie Mae Mortgage-Backed Securities:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">7.50%, 8/15/21&#150;12/15/23</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">119</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">125,752</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">8.00%, 10/15/22&#150;8/15/27</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">52</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">56,322</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">9.00%, 4/15/20&#150;9/15/21</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,415</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">401,083,974</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="10" STYLE="text-align: left"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Principal Only Collateralized Mortgage Obligations &#151; 0.3%</B></FONT></DIV>
</TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Fannie Mae Mortgage-Backed Securities (d):</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 1999-W4, 0.00%, 2/25/29</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">94</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">86,346</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Series 2002-13, Class PR, 0.00%, 2/25/21&#150;3/25/32</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">346</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">326,394</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Freddie Mac Mortgage-Backed Securities, 0.00%, 11/15/22&#150;11/15/28 (d)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">822</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">768,398</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,181,138</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="9" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total U.S. Government Sponsored Agency Securities &#151; 156.4%</B></FONT></DIV>
</TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">727,029,517</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left"><DIV STYLE="text-align: right"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>U.S. Treasury Obligations</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B>&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">U.S. Treasury Notes:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">1.63%, 8/31/19 (h)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,780</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,779,254</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">1.00%, 11/30/19 (f)</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,965</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,858,678</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">1.63%, 11/15/22</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">780</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">746,607</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 30px; TEXT-INDENT: -10px"><FONT STYLE="font-size: 8pt">2.50%, 5/15/24</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,440</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,460,588</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="4" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 6px; text-indent: -6px"><FONT STYLE="font-size: 8pt"><B>Total U.S. Treasury Obligations &#151; 2.1%</B></FONT></DIV>

</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">9,845,127</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 0px; text-indent: 0px"><FONT STYLE="font-size: 8pt"><B>Total Long-Term Investments</B><BR><B> (Cost &#151; $747,376,081) &#151; 161.8%</B></FONT></DIV>
</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">752,395,000</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">

<!-- agabop mode="frill" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">58</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 46 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 47 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Arial; margin-bottom: 2pt">
<TR>
<TD STYLE="width: 63%"></TD>
<TD STYLE="width: 36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income Trust,
Inc. (BKT)<BR><FONT STYLE="font-size: 8pt">(Percentages shown are based on Net Assets)</font><BR></FONT></B></TD></TR></TABLE></DIV>
<!-- MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation" -->
<DIV STYLE="margin-right: 20pt; width: 48%; float: left;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM"></FONT><TD NOWRAP COLSPAN="4" STYLE="border-bottom: Black 1pt solid; text-align: left; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Short-Term Securities</B></FONT>   <FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;</B></FONT><FONT STYLE="font-size: 8pt"><BR><FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Shares</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; padding-top: 6"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Money Market Funds &#151; 1.7%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 12%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">BlackRock Liquidity Funds, TempFund, Institutional Class,
                                         0.03% (i)(j)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,012,499</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,012,499</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Borrowed Bond Agreement &#151; 0.2%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">Credit Suisse Securities (USA) LLC, 0.06%, Open (Purchased
                                         on 7/23/14 to be repurchased at $837,054, collateralized by U.S. Treasury Bonds, 2.75%,
                                         par and fair values of $917,000 and $859,687, respectively)</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="LEFT" STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">$</FONT></TD>
     <TD ALIGN="LEFT" STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">837</FONT></TD>
     <TD ALIGN="LEFT" STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">837,000</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>Total Short-Term Securities</B><BR><B> (Cost &#151;
                                         $8,849,499) &#151; 1.9%</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">8,849,499</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><B>Total Investments Before Borrowed Bonds and TBA Sale
                                         Commitments</B><BR><B> (Cost &#151; $756,225,580) &#151; 163.7%</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">761,244,499</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation" -->
</DIV><DIV style="width: 48%; float: right;"><FONT STYLE="font-size: 8pt"><TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
      <TR VALIGN="BOTTOM"></FONT><TD NOWRAP COLSPAN="4" STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Borrowed Bonds</B></FONT>   <FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Par</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(000)</B></FONT></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP ALIGN="CENTER" STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt">U.S. Treasury Bonds, 2.75%, 11/15/42</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 3%; text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; width: 12%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">917</FONT></TD>
     <TD NOWRAP STYLE="width: 3%; text-align: left; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="width: 3%; border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 3%; text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; width: 12%"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(859,687</FONT></TD>
     <TD NOWRAP STYLE="width: 3%; text-align: left; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 0; text-indent: 0"><FONT STYLE="font-size: 8pt"><B>Total Borrowed Bonds</B><BR><B>(Proceeds &#151; $842,347)
                                         &#151; (0.2)%</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(859,687</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="11" STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt"><HR SIZE="6" NOSHADE COLOR="gray" STYLE="margin-top: 12pt"></FONT></DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px"><FONT STYLE="font-size: 8pt"><B>TBA Sale Commitments (g)</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt">Fannie Mae Mortgage-Backed Securities:</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">4.50%, 9/01/29</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">4,700</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(4,966,395</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">5.00%, 9/01/29 &#151; 10/01/44</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">26,100</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(28,742,926</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><DIV
STYLE="MARGIN-LEFT: 30px; TEXT-INDENT: -10px"><FONT STYLE="font-size: 8pt">6.00%, 9/01/44</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">21,800</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(24,586,312</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: Black 2px solid"><DIV STYLE="margin-left: 0; text-indent: 0"><FONT STYLE="font-size: 8pt"><B>Total TBA Sale Commitments</B><BR><B> (Proceeds &#151;
                                         $58,228,891) &#151; (12.5)%</B></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(58,295,633</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="9" STYLE="text-align: left"><DIV STYLE="margin-left: 0; text-indent: 0"><FONT STYLE="font-size: 8pt"><B>Total Investments, Net of Borrowed Bonds and<BR>TBA Sale Commitments &#151; 151.0%</B></FONT></DIV>
</TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">702,089,179</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="8" STYLE="text-align: left"><DIV STYLE="margin-left: 0; text-indent: 0"><FONT STYLE="font-size: 8pt"><B>Liabilities in Excess of Other Assets &#151; (51.0)%</B></FONT></DIV>
</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(237,156,666</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><FONT STYLE="font-size: 8pt"><B>Net Assets &#151; 100.0%</B></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 2px solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">464,932,513</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TABLE><!-- MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation" -->
</div><br style="clear:both"><br style="clear:both">

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<P STYLE="text-align: left; color: gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; border-bottom: Black 1pt solid;
background-color: #f0f0f0; padding-left: 12pt"><B><FONT COLOR="gray">Notes to Schedule of Investments</FONT></B></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="center" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(a)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Variable rate security. Rate shown is as of report date.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(b)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold
in transactions exempt from registration to qualified institutional investors.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(c)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following
periods. Rate shown is as of report date.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(d)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Zero-coupon bond.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(e)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Amount is less than $500.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(f)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase
agreements.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 2%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(g)</FONT></TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 98%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">Represents or includes a TBA transaction. Unsettled TBA transactions as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Counterparty</B></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Value</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Unrealized<BR> Appreciation/<BR>
(Depreciation)</B></B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 68%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Credit Suisse Securities (USA) LLC </DIV></FONT></TD>
     <TD STYLE="width: 1%">&nbsp;</TD>
     <TD STYLE="width: 1%">&nbsp;</TD>
     <TD STYLE="width: 1%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 2%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">21,789,416</FONT></TD>
     <TD NOWRAP STYLE="width: 2%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 2%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">138,229</FONT></TD>
     <TD NOWRAP STYLE="width: 2%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Deutsche Bank Securities, Inc. </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,075,105</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(1,653</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Goldman Sachs &amp; Co. </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">1,303,031</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,594</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">J.P. Morgan Securities LLC </DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">1,322,203</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,074</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TABLE>


<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(h)</FONT></TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">When-issued security. Unsettled when-issued transactions were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Counterparty<BR></B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT"
></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Value</B></B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Unrealized<BR>
Appreciation</B></B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 68%; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">J.P. Morgan Securities LLC </DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; width: 1%">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; width: 1%">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; width: 1%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 2%; text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">4,779,254</FONT></TD>
     <TD NOWRAP STYLE="width: 2%; text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 2%; text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,097</FONT></TD>
     <TD NOWRAP STYLE="width: 2%; text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(i)</FONT></TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2014, for purposes of Section 2(a)(3) of the
1940 Act were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Affiliate<BR></B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT"
></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Shares<BR> Held at<BR> August 31,
2013</B></B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Net<BR> Activity</B></B><HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Shares<BR> Held at<BR> August 31,
2014</B></B><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Income</B></B><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 36%; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BlackRock Liquidity Funds, TempFund, Institutional Class  </DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 2%; text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; width: 7%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">14,996,794</FONT></TD>
     <TD NOWRAP STYLE="width: 2%; text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 2%; text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; width: 7%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(6,984,295</FONT></TD>
     <TD NOWRAP STYLE="width: 2%; text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 2%; text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; width: 7%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">8,012,499</FONT></TD>
     <TD NOWRAP STYLE="width: 2%; text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 2%; text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid; width: 7%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,704</FONT></TD>
     <TD NOWRAP STYLE="width: 2%; text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 0%; border-bottom: windowtext 1pt solid">&nbsp;</TD>

</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(j)</FONT></TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Represents the current yield as of report date.</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="2%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD >&nbsp;</TD> <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Reverse repurchase agreements outstanding as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: left; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Counterparty<BR><HR SIZE=1 NOSHADE
COLOR="#000000" ALIGN="LEFT" ></B></FONT></TD>
     <TD NOWRAP STYLE="border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT"
></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Interest<BR> Rate<HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Trade<BR> Date<HR SIZE=1
NOSHADE COLOR="#000000" ALIGN="CENTER"></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Maturity<BR>
     Date<SUP>1</SUP><HR SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></B></FONT></TD>
     <TD NOWRAP COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Face Value<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></B></FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>&nbsp;<HR SIZE=1 NOSHADE COLOR="#000000"
ALIGN="CENTER"></B></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Face Value<BR>
     Including<BR> Accrued</B></FONT><BR><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B> Interest</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: #000000"></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.15%</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">12/10/13</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">17,914,714</FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">17,929,673</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BNP
Paribas Securities Corp.</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.09%</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/07/14</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Open</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,831,575</FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,831,964</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.14%</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">8/12/14</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">9/11/14</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">153,535,000</FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">153,546,942</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; width: 100%; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">0.14%</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">8/12/14</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">9/11/14</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">31,104,000</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">31,106,419</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD NOWRAP STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">205,385,289</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">205,414,998</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="3px" ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>1</SUP></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Certain agreements have no stated maturity and can
be terminated by either party at any time.</FONT></TD>
</TR>
</TABLE>
<!-- agabop mode="frill" last-style="soi_footnote2" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">59<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 47 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 48 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote2" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income Trust,
Inc. (BKT)<BR>&nbsp;<BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt; margin-bottom: 6pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD>&nbsp;</TD> <TD>&nbsp;</TD> <TD>&nbsp;</TD> <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Financial futures contracts outstanding as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TR></TABLE>

<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP COLSPAN="2" STYLE="text-align: center; font-size: 8pt; border-bottom: Black 1pt solid; padding-bottom: 6pt; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Contracts</B></FONT><BR><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B> Sold</B></FONT></TD>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; font-size: 8pt; padding-bottom: 6pt">&nbsp;</TD>
    <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt; padding-bottom: 6pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Issue</B></FONT></TD>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt; padding-bottom: 6pt">&nbsp;</TD>
    <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt; padding-bottom: 6pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Exchange</B></FONT></TD>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt; padding-bottom: 6pt">&nbsp;</TD>
    <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt; padding-bottom: 6pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Expiration</B></FONT></TD>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt; padding-bottom: 6pt">&nbsp;</TD>
    <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt; padding-bottom: 6pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Notional</B></FONT><BR>
<FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Value</B></FONT></TD>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt; padding-bottom: 6pt">&nbsp;</TD>
    <TD NOWRAP STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt; padding-bottom: 6pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Unrealized</B></FONT><BR><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B> Appreciation</B></FONT><BR>
<FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>(Depreciation)</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 4%; text-align: right; font-size: 8pt; text-indent: 0px; vertical-align: middle"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(41)</FONT></TD>
    <TD STYLE="width: 4%">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">90-Day Euro-Dollar</FONT></TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Chicago Mercantile</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">September 2014</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">$10,225,913</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">$(42,315)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px; vertical-align: middle"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(164)</FONT></TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">2-Year U.S. Treasury Note</FONT></TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Chicago Board of Trade</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">December 2014</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">$35,923,688</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(20,277)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px; vertical-align: middle"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(52)</FONT></TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">5-Year U.S. Treasury Note</FONT></TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Chicago Board of Trade</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">December 2014</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">$&nbsp;6,179,469</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(7,747)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px; vertical-align: middle"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(200)</FONT></TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">10-Year U.S. Treasury Note</FONT></TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Chicago Board of Trade</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">December 2014</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">$25,156,250</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(6,433)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px; vertical-align: middle"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(641)</FONT></TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Long U.S. Treasury Bond</FONT></TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Chicago Board of Trade</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">December 2014</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">$89,800,094</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(601,120)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px; vertical-align: middle"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(85)</FONT></TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Ultra Long U.S. Treasury Bond</FONT></TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Chicago Board of Trade</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">December 2014</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">$13,217,500</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(101,721)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px; vertical-align: middle"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(41)</FONT></TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">90-Day Euro-Dollar</FONT></TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Chicago Mercantile</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">December 2014</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">$10,223,862</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(48,196)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px; vertical-align: middle"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(41)</FONT></TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">90-Day Euro-Dollar</FONT></TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Chicago Mercantile</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">March 2015</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">$10,213,612</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(43,759)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px; vertical-align: middle"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(12)</FONT></TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">90-Day Euro-Dollar</FONT></TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Chicago Mercantile</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">June 2015</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">$&nbsp;2,983,800</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(2,123)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px; vertical-align: middle"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(12)</FONT></TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">90-Day Euro-Dollar</FONT></TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Chicago Mercantile</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">December 2015</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">$&nbsp;2,970,150</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">4,927&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 8pt; text-indent: 0px; vertical-align: middle"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">(12)</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">90-Day Euro-Dollar</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Chicago Mercantile</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">March 2016</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">$&nbsp;2,962,800</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">8,302&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px; vertical-align: middle"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Total</B></FONT><BR></TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><U>$&nbsp;(860,462)</U></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px; vertical-align: middle">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center; font-size: 8pt; text-indent: 0px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center; font-size: 8pt; text-indent: 0px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right; font-size: 8pt; text-indent: 0px">&nbsp;</TD></TR>
</TABLE>


<P STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt; margin-bottom: 6pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD>&nbsp;</TD> <TD>&nbsp;</TD> <TD>&nbsp;</TD> <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Centrally cleared interest rate swaps outstanding as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TR></TABLE>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Fixed<BR> Rate</B></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Floating<BR> Rate</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Clearinghouse</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Expiration<BR> Date</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Notional<BR> Amount<BR>
(000)</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Unrealized<BR>
Appreciation</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="text-align: center">0.46%<SUP>1</SUP></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">3-month LIBOR</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Chicago Mercantile</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">6/11/15</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">$100</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">$141</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>

</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt; margin-bottom: 6pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD>&nbsp;</TD> <TD>&nbsp;</TD> <TD>&nbsp;</TD> <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">OTC
interest rate swaps outstanding as of August 31, 2014 were as follows:</DIV></FONT></TD>
</TR></TABLE>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Fixed<BR> Rate</B></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Floating<BR> Rate</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Counterparty</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Expiration<BR> Date</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Notional<BR> Amount<BR>
(000)</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Market<BR> Value</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="2" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Premiums<BR> Received</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Unrealized<BR> Appreciation<BR>
(Depreciation)</B></B></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="text-align: center">4.88%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">UBS AG</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3/21/15</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">25,000</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">$626,334&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">$626,334&nbsp;</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="text-align: center">4.87%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Goldman Sachs Bank USA</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">1/25/16</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">5,500</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">335,111&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">335,111&nbsp;</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="text-align: center">2.81%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Citibank N.A.</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2/06/16</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">20,000</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">661,695&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">661,695&nbsp;</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="text-align: center">5.72%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">JPMorgan Chase Bank N.A.</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">7/14/16</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">5,400</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">506,017&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">506,017&nbsp;</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="text-align: center">4.31%<SUP>2</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank AG</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">10/01/18</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">60,000</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">(6,648,452)</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">(6,648,452)</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="text-align: center">3.43%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">JPMorgan Chase Bank N.A.</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">3/28/21</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">USD</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">6,000</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">502,799&nbsp;</DIV></FONT></TD>
     <TD NOWRAP>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(183,998</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">686,797&nbsp;</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="text-align: center">5.41%<SUP>1</SUP></DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">3-month LIBOR</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">JPMorgan Chase Bank N.A.</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">8/15/22</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">USD</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">9,565</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">2,216,240&nbsp;</DIV></FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">2,216,240&nbsp;</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">&nbsp;</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">&nbsp;</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">&nbsp;</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">&nbsp;</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">$(1,800,256)</DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(183,998</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right">$(1,616,258)</DIV></FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>1</SUP></FONT></TD>
     <TD STYLE="width: 5pt">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Trust pays the floating rate and receives the fixed
rate.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>2</SUP></FONT></TD>
     <TD STYLE="width: 5pt">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Trust pays the fixed rate and receives the floating
rate.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">For
Trust compliance purposes, the Trust&#146;s industry classifications refer to any one or more of the industry sub-classifications used by one or more
widely recognized market indexes or rating group indexes, and/or as defined by investment advisor. These definitions may not apply for purposes of this
report, which may combine such industry sub-classifications for reporting ease.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right; width: 1%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Fair
Value Measurements &#151; Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to
valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as
follows:</DIV></FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="TOP">
    <TD STYLE="width: 1.5%; padding-bottom: 6pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: right; width: 1%; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Level 1 &#151; unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to
access</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
    <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: right; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Level 2 &#151; other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active,
quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for
the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or
other market-corroborated inputs)</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
    <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: right; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#149;</FONT></TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="padding-bottom: 6pt">&nbsp;</TD> <TD STYLE="text-align: left; padding-bottom: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Level 3 &#151; unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available
(including the Trust&#146;s own assumptions used in determining the fair value of investments and derivative financial instruments)</DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">The
hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the
lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for
instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases,
for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value
measurement in its entirety.</DIV></FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>

<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the
Trust&#146;s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the
reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of
the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For
information about the Trust&#146;s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes
to Financial Statements.</DIV></FONT></TD>
<!-- table_boopfix mode="ep" -->
</TR>
</TABLE>
<!-- agabop mode="ep" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">60</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 48 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 49 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income Trust,
Inc. (BKT)<BR>&nbsp;<BR></FONT></B></TD></TR></TABLE></DIV>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt; margin-top: 12pt"></TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">The
following tables summarize the Trust&#146;s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31,
2014:</DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="border-top: Black 1pt solid; text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 1</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 2</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 3</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Total</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 35%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Assets:<BR></B></DIV></FONT></TD>
     <TD STYLE="width: 1%">&nbsp;</TD>
     <TD STYLE="width: 1%">&nbsp;</TD>
     <TD STYLE="width: 1%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Investments:<BR></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Long-Term Investments:<BR></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Asset-Backed Securities </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,560,413</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">626,872</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">4,187,285</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Non-Agency Mortgage-Backed Securities </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">8,624,522</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,708,549</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">11,333,071</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">U.S. Government Sponsored Agency Securities </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">723,416,845</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,612,672</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">727,029,517</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">U.S. Treasury Obligations </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">9,845,127</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">9,845,127</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Short-Term Securities:<BR></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Money Market Funds </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">8,012,499</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">8,012,499</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Borrowed Bond Agreement </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">837,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">837,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Liabilities:<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Investments:<BR></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Borrowed Bonds </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(859,687</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(859,687</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">TBA Sale Commitments </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(58,295,633</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(58,295,633</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Total<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;8,012,499</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;687,128,587</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,948,093</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;702,089,179</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 1</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 2</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 3</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Total</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 35%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Derivative Financial Instruments<SUP>1</SUP><BR></DIV></FONT></TD>
     <TD STYLE="width: 1%">&nbsp;</TD>
     <TD STYLE="width: 1%">&nbsp;</TD>
     <TD STYLE="width: 1%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Assets:<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Interest rate contracts </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">13,229</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,032,335</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">5,045,564</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Liabilities:<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Interest rate contracts </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(873,691</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(6,648,452</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(7,522,143</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Total<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;(860,462</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;(1,616,117</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;(2,476,579</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>1</SUP></FONT></TD>
     <TD STYLE="width: 5pt">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Derivative financial instruments are swaps and
financial futures contracts, which are valued at the unrealized appreciation/depreciation on the instrument.</FONT></TD>
</TR>
</TABLE>

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">

     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">There were no transfers between Level 1 and Level 2 during the year ended August 31, 2014.</DIV></FONT></TD>
</TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">

     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">The
Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31,
2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:</DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 1</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 2</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Level 3</B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>Total</B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 35%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Assets:<BR></B></DIV></FONT></TD>
     <TD STYLE="width: 1%">&nbsp;</TD>
     <TD STYLE="width: 1%">&nbsp;</TD>
     <TD STYLE="width: 1%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%; text-align: center">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD>
<TD STYLE="width: 10%">&nbsp;</TD>
<TD STYLE="width: 2%">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Cash pledged as collateral for OTC derivatives </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,700,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,700,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Cash pledged as collateral for reverse repurchase agreements </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">173,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">173,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Cash pledged for financial futures contracts </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,009,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,009,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Cash pledged for centrally cleared swaps </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">10,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">10,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Liabilities:<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD STYLE="text-align: center">&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Bank overdraft </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(79</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(79</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Cash received as collateral for OTC derivatives </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(5,260,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(5,260,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Reverse repurchase agreements </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(205,414,998</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(205,414,998</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Total<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;9,892,000</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(210,675,077</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(200,783,077</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TABLE>
<!-- agabop mode="frill" last-style="table" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">61<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 49 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_02-60344-sois PAGE POSITION: 50 -->
<DIV align=left>
<!-- agabop mode="main" last-style="table" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Schedule of Investments (concluded)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT color=gray>BlackRock Income Trust,
Inc. (BKT)<BR>&nbsp;<BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">
     <TD ALIGN="RIGHT" WIDTH="1%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">A
reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the
period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in
determining fair value:</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 20%; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B>&nbsp;</B></FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Asset-Backed<BR>
Securities</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Non-Agency<BR> Mortgage-Backed<BR>
Securities</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>US Government<BR> Sponsored
Agency<BR> Securities</B></B></FONT></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 8pt"><B><B>Total</B></B></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 6px; text-indent: -6px"><B>Assets:<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 6px; text-indent: -6px">Opening Balance, as of August 31, 2013 </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">695,051</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">2,808,305</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">7,314,558</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">10,817,914</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 6px; text-indent: -6px">Transfers into Level 3 </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 6px; text-indent: -6px">Transfers out of Level 3<SUP>1</SUP> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(3,143,245</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(3,143,245</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 6px; text-indent: -6px">Accrued discounts/premiums </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(371,145</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(13,012</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(384,157</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 6px; text-indent: -6px">Net
realized gain (loss) </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">10</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(16,767</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(16,757</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 6px; text-indent: -6px">Net
change in unrealized appreciation/depreciation<SUP>2,3</SUP> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">302,966</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">(99,756</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">16,958</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">220,168</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 6px; text-indent: -6px">Purchases </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 6px; text-indent: -6px">Sales </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt' nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(10</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(545,822</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(545,832</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 20%; padding-top: 3pt; padding-bottom: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 6px; text-indent: -6px"><B>Closing Balance, as of August 31, 2014<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">626,872</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid' nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">2,708,549</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">3,612,672</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">6,948,093</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="margin-left: 6px; text-indent: -6px">Net
change in unrealized appreciation/depreciation on investments held as of August 31, 2014<SUP>3</SUP> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">302,966</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid' nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">(99,756</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">16,958</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">220,168</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
8pt">&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>1</SUP></FONT></TD>
     <TD STYLE="width: 5pt">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">As of August 31, 2013, the Trust used significant
unobservable inputs in determining the value of certain investments. As of August 31, 2014, the Fund used observable inputs in determining the value of
the same investments. As a result, investments with a beginning of period value of $3,143,245 transferred from Level 3 to Level 2 in the disclosure
hierarchy.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>2</SUP></FONT></TD>
     <TD STYLE="width: 5pt">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Included in the related net change in unrealized
appreciation/depreciation in the Statements of Operations.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>3</SUP></FONT></TD>
     <TD STYLE="width: 5pt">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Any difference between Net change in unrealized
appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments held as of August 31, 2014 is generally due to
investments no longer held or categorized as level 3 at period end.</FONT></TD>
</TR>
</TABLE>

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 8pt">
<TR VALIGN="TOP">

     <TD ALIGN="LEFT" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Certain of the Trust&#146;s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment.
Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or
higher value of such Level 3 investments.</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 4px" ALIGN="LEFT"></FONT></DIV></P>
<!-- agabop mode="frill" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">62</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_02-60344-sois PAGE POSITION: 50 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>


<!-- Field: Split-Segment; Name: 02 -->



<!-- v: version 37 -->
<!-- BEGIN DIVISION: DIV_03-60344-financials PAGE POSITION: 1 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray><A NAME="a_006"></A>Statements of Assets and Liabilities </FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>August 31, 2014</B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BlackRock<BR> Core Bond<BR> Trust<BR>
(BHK)</B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BlackRock<BR> Corporate<BR> High
Yield<BR> Fund, Inc.<BR> (HYT)*</B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BlackRock<BR> Income<BR>
Opportunity<BR> Trust, Inc.<BR> (BNA)</B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BlackRock<BR> Income<BR> Trust,
Inc.<BR> (BKT)</B></B></FONT></TD>
</TR>


<TR VALIGN="BOTTOM">
     <TD colspan="20" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Assets</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Investments at value &#151; unaffiliated<SUP>1</SUP> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;596,447,752</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,383,983,860</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;595,098,808</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;753,232,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Investments at value &#151; affiliated<SUP>2</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">742,474</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,602,081</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,425,318</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8,012,499</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Cash </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">38,897</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Cash pledged for financial futures contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">122,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,198,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">226,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,009,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Cash pledged as collateral for reverse repurchase agreements </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,984,142</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">173,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Cash pledged as collateral for OTC derivatives </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,200,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,970,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">590,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7,700,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Cash pledged for centrally cleared swaps </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">516,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">515,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Interest receivable </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6,452,194</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">33,200,680</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6,565,872</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,657,275</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">TBA sale commitments receivable</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">58,228,891</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Investments sold receivable </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">177,530</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">17,388,648</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">522,868</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">102,629</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Unrealized appreciation on OTC derivatives</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">178,514</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,657,749</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">179,910</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,032,194</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Dividends receivable</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13,711</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">98,107</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13,711</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Swaps receivable</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6,521</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">202,777</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6,335</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">812,964</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Swap premiums paid </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">70,996</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">156,624</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">70,977</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Variation margin receivable on financial futures contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">20,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">18,125</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">156,594</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Unrealized appreciation on forward foreign currency exchange contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">395,247</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7,247,593</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">393,776</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Principal paydowns receivable </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">35,506</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Foreign currency at value<SUP>3</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15,884</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">529,079</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">304,703</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Variation margin receivable on centrally cleared swaps </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">20</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Deferred offering costs </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">115,121</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Prepaid expenses </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7,068</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">29,658</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7,031</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10,927</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total assets </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">606,404,788</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">2,454,379,977</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">609,922,576</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">838,173,499</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="20" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Liabilities</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Bank overdraft </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">224,629</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">48,720</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">79</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Cash received as collateral for reverse repurchase agreements </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,378,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,162,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Cash received as collateral for OTC derivatives </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,700,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,260,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Borrowed bonds at value<SUP>4</SUP> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">859,687</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Options written at value<SUP>5</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,580,908</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,588,336</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Bank borrowings payable </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">723,000,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Reverse repurchase agreements </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">168,300,777</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">171,566,571</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">205,414,998</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Investments purchased payable </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">19,789,437</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">18,869,689</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">21,936,026</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">94,483,764</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">TBA sale commitments at value<SUP>6</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">58,295,633</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Unrealized depreciation on OTC derivatives </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">139,535</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">139,491</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6,648,452</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Swap premiums received </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">121,185</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">368,840</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">122,177</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">183,998</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Unrealized depreciation on forward foreign currency exchange contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,496</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">304,747</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Investment advisory fees payable </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">252,975</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,228,637</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">206,443</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">256,171</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Swaps payable </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">18,099</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">18,097</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,127,872</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Interest expense payable </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">558,092</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">17,393</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Officer&#146;s and Trustees fees payable</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">62,798</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">403,461</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">139,422</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">154,203</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Income dividends payable </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">50,924</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">437,048</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">70,420</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">65,466</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Variation margin payable on financial futures contracts</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">40,558</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">155,496</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">51,432</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13,606</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Variation margin payable on centrally cleared swaps </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,203</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,758</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Administration fees payable </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">34,455</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">59,239</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Reorganization costs payable </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">180,616</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13,125</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">77,383</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">222,279</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Offering costs payable </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">144,142</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Other liabilities</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">240,760</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">101,591</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Other accrued expenses payable </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">161,105</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">549,971</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">155,693</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">178,146</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total liabilities </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">194,326,376</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">748,957,877</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">199,420,015</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">373,240,986</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Net Assets</B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">412,078,412</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1,705,422,100</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">410,502,561</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">464,932,513</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 25px;  TEXT-INDENT:
-10px">&nbsp;<SUP>1</SUP>&nbsp;&nbsp; Investments at cost &#151; unaffiliated</DIV></FONT></TD>
     <TD STYLE="padding-top: 3pt">&nbsp;</TD>
     <TD STYLE="padding-top: 3pt">&nbsp;</TD>
     <TD STYLE="padding-top: 3pt">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">560,291,925</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; padding-top: 3pt">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,320,027,105</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; padding-top: 3pt">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">559,275,271</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; padding-top: 3pt">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">748,213,081</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 25px;  TEXT-INDENT:
-10px">&nbsp;<SUP>2</SUP>&nbsp;&nbsp; Investments at cost &#151; affiliated</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">742,474</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,602,081</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,425,318</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8,012,499</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 25px;  TEXT-INDENT:
-10px">&nbsp;<SUP>3</SUP>&nbsp;&nbsp; Foreign currency at cost</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13,065</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">531,034</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">307,617</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 25px;  TEXT-INDENT:
-10px">&nbsp;<SUP>4</SUP>&nbsp;&nbsp; Proceeds received from borrowed bonds</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">842,347</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 25px;  TEXT-INDENT:
-10px">&nbsp;<SUP>5</SUP>&nbsp;&nbsp; Premiums received</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,343,622</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> &#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,351,152</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 25px;  TEXT-INDENT:
-10px">&nbsp;<SUP>6</SUP>&nbsp;&nbsp; Proceeds from TBA sale commitments</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">58,228,891</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TABLE>
<!-- agabop mode="ep" last-style="soi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">63<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_03-60344-financials PAGE POSITION: 1 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_03-60344-financials PAGE POSITION: 2 -->
<DIV align=left>
<!-- agabop mode="main" last-style="soi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Statements of Assets and Liabilities (concluded) </FONT><FONT
color=gray STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>August 31, 2014</B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BlackRock<BR> Core Bond<BR> Trust<BR>
(BHK)</B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BlackRock<BR> Corporate<BR> High
Yield<BR> Fund, Inc.<BR> (HYT)*</B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BlackRock<BR> Income<BR>
Opportunity<BR> Trust, Inc.<BR> (BNA)</B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BlackRock<BR> Income<BR> Trust,
Inc.<BR> (BKT)</B></B></FONT></TD>
</TR>


<TR VALIGN="BOTTOM">
     <TD colspan="20" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Net Assets Consist of</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Paid-in capital<SUP>7,8,9</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;378,734,616</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,788,506,929</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;385,469,263</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;478,274,443</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Undistributed net investment income </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,988,893</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,526,183</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,921,368</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9,245,640</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Accumulated net realized loss </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(6,665,710</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(157,363,092</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(14,609,287</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(25,045,827</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net unrealized appreciation/depreciation </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">37,020,613</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">72,752,080</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">36,721,217</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">2,458,257</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Net Assets</B> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">412,078,412</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1,705,422,100</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">410,502,561</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">464,932,513</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net asset value per share</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15.24</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13.47</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.91</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.27</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 25px;  TEXT-INDENT:
-10px">&nbsp;<SUP>7</SUP>&nbsp;&nbsp; Par Value</DIV></FONT></TD>
     <TD STYLE="padding-top: 3pt">&nbsp;</TD>
     <TD STYLE="padding-top: 3pt">&nbsp;</TD>
     <TD STYLE="padding-top: 3pt">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.001</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; padding-top: 3pt">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.100</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; padding-top: 3pt">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.010</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; padding-top: 3pt">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.010</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 25px;  TEXT-INDENT:
-10px">&nbsp;<SUP>8</SUP>&nbsp;&nbsp; Shares outstanding </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">27,041,847</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">126,599,668</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">34,456,370</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">63,942,535</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 25px;  TEXT-INDENT:
-10px">&nbsp;<SUP>9</SUP>&nbsp;&nbsp; Shares authorized </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">unlimited</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">200 million</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">200 million</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">200 million</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 6px" >&nbsp;* </DIV></FONT></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Consolidated Statement of Assets and Liabilities</FONT></TD>
</TR>
</TABLE>
<!-- agabop mode="ep" last-style="finhi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV STYLE="text-align: left">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">64</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_03-60344-financials PAGE POSITION: 2 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_03-60344-financials PAGE POSITION: 3 -->
<DIV align=left>
<!-- agabop mode="main" last-style="finhi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray><A NAME="a_007"></A>Statements of Operations </FONT><FONT color=gray STYLE="font-size:
10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Year Ended August 31,
2014</B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BlackRock<BR> Core Bond<BR> Trust<BR>
(BHK)</B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BlackRock<BR> Corporate<BR> High
Yield<BR> Fund, Inc.<BR> (HYT)<SUP>1</SUP></B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BlackRock<BR> Income<BR>
Opportunity<BR> Trust, Inc.<BR> (BNA)</B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BlackRock<BR> Income<BR> Trust,
Inc.<BR> (BKT)</B></B></FONT></TD>
</TR>


<TR VALIGN="BOTTOM">
     <TD colspan="20" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Investment Income</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Interest </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;27,122,967</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">121,549,309</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">26,967,255</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">26,885,874</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Dividends &#151; unaffiliated</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">308,188</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,880,665</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">310,486</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Dividends &#151; affiliated</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,865</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">987</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,754</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,704</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total income</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">27,433,020</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">124,430,961</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">27,279,495</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">26,889,578</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="20" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Expenses</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Investment advisory </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,100,274</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12,173,549</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,353,384</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,033,540</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Administration </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">392,231</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">700,048</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Professional</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">118,462</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">340,094</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">94,161</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">86,488</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Transfer agent </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">56,173</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">220,351</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">63,657</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">110,593</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Custodian </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">46,807</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">272,008</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">48,052</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">53,307</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Accounting services </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">58,279</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">194,538</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">58,010</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">67,315</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Officer and Trustees </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">44,767</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">189,644</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">55,589</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">65,385</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Reorganization</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">226,142</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">62,381</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">377,383</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">267,805</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Printing </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">19,029</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">39,487</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">18,984</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">20,373</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Registration </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9,010</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">33,224</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11,456</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">21,191</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Offering </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">29,671</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Miscellaneous </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">85,119</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">258,408</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">77,828</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">52,115</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total expenses excluding interest expense and income tax </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,764,062</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13,813,355</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,550,735</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,478,160</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Interest expense</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">410,344</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,305,355</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">420,378</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">302,522</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Income tax </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">65,185</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total expenses</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,174,406</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">19,183,895</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,971,113</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,780,682</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Less fees paid indirectly</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(24</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(300</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(190</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(109</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Less fees waived by Manager </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(172,812</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,724</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(3,720</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(7,128</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Less reorganization costs reimbursed by Manager </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(300,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total expenses after fees waived</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">4,001,570</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">19,181,871</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">3,667,203</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">4,773,445</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net investment income</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">23,431,450</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">105,249,090</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">23,612,292</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">22,116,133</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="20" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Realized and Unrealized Gain (Loss)</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net realized gain (loss) from:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="margin-left: 20px; text-indent: -10px">Investments </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,820,509</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">58,972,474</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,214,581</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,490,649</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Litigation proceeds </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">332,281</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8,518</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">46,780</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Financial futures contracts</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,224,968</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(3,219,276</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,403,516</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(11,396,693</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Foreign currency transactions </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,158,403</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(3,086,490</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,284,711</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Options written </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">522,931</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">191,073</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">524,192</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Swaps </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(1,490,123</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(7,879,332</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(1,443,580</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">503,189</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">&nbsp;</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">3,252,163</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">44,986,967</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">3,460,778</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(9,402,855</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net change in unrealized appreciation/depreciation on:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Investments </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">29,187,619</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">24,844,722</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">29,388,333</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12,701,073</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Financial futures contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(195,226</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(10,931</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(153,120</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">157,699</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Foreign currency translations</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">461,808</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,205,406</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">507,997</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Options written </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,293,405</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">24,288</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,296,453</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Swaps</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(765,497</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,770,558</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(813,520</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(865,533</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Borrowed bonds </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(98,864</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Unfunded floating rate loan interests </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(12,443</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">&nbsp;</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">29,982,109</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">31,821,600</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">30,226,143</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">11,894,375</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net realized and unrealized gain</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">33,234,272</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">76,808,567</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">33,686,921</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">2,491,520</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>Net Increase in Net Assets Resulting from Operations</B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">56,665,722</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">182,057,657</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;57,299,213</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">24,607,653</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP>&nbsp;&nbsp;</TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Consolidated Statement of Operations.</FONT></TD>
</TR>
</TABLE>
<!-- agabop mode="ep" last-style="finhi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">65<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_03-60344-financials PAGE POSITION: 3 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_03-60344-financials PAGE POSITION: 4 -->
<DIV align=left>
<!-- agabop mode="main" last-style="finhi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray><A NAME="a_008"></A>Statements of Changes in Net Assets </FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=7 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BlackRock<BR> Core Bond Trust
(BHK)</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=7 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Year Ended August 31,</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Increase (Decrease) in Net
Assets:</B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2014</B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2013</B></FONT></TD>
</TR>


<TR VALIGN="BOTTOM">
     <TD colspan="12" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Operations</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net investment income </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">23,431,450</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">24,077,362</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net realized gain </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,252,163</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,698,305</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net change in unrealized appreciation/depreciation </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">29,982,109</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(31,803,836</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net increase (decrease) in net assets resulting from operations </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">56,665,722</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(6,028,169</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="12" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Dividends to Shareholders From<SUP>1</SUP></DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net investment income </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(24,499,913</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(25,416,860</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="12" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Capital Share Transactions</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Reinvestment of dividends </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">221,789</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="12" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Net Assets</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total increase (decrease) in net assets </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">32,165,809</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(31,223,240</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Beginning of year </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">379,912,603</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">411,135,843</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">End of year </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;412,078,412</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;379,912,603</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Undistributed net investment income, end of year </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,988,893</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,180,547</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><DIV STYLE="TEXT-INDENT: 0px; TOP-MARGIN: 6px; TEXT-ALIGN: LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="3"><DIV STYLE="text-align: left; font-size: 14pt; border-top: gray 4pt solid; color: Gray">Consolidated Statements of Changes in Net Assets</FONT></DIV></DIV></P>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=7 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BlackRock Corporate<BR> High Yield Fund
Inc. (HYT)</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=7 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Year Ended August 31,</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Increase (Decrease) in Net
Assets:</B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2014</B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2013</B></FONT></TD>
</TR>


<TR VALIGN="BOTTOM">
     <TD colspan="12" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Operations</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net investment income </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">105,249,090</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">35,346,627</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net realized gain </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">44,986,967</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">23,080,390</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net change in unrealized appreciation/depreciation </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">31,821,600</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(8,840,108</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net increase in net assets resulting from operations </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">182,057,657</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">49,586,909</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="12" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Dividends to Shareholders From<SUP>1</SUP></DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net investment income </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(101,824,719</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(39,195,248</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="12" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Capital Share Transactions</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net proceeds from the issuance of shares due to reorganization </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,178,342,562</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Reinvestment of dividends </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">499,916</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net increase in net assets derived from capital share transactions </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1,178,342,562</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">499,916</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="12" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Net Assets</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total increase in net assets </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,258,575,500</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10,891,577</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Beginning of year </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">446,846,600</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">435,955,023</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">End of year </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1,705,422,100</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;446,846,600</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Undistributed net investment income, end of year </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,526,183</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,902,307</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Dividends for annual periods determined in
accordance with federal income tax regulations.</FONT></TD>
</TR>
</TABLE>
<!-- agabop mode="ep" last-style="finhi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">66</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_03-60344-financials PAGE POSITION: 4 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_03-60344-financials PAGE POSITION: 5 -->
<DIV align=left>
<!-- agabop mode="main" last-style="finhi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Statements of Changes in Net Assets </FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=7 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BlackRock Income<BR> Opportunity Trust,
Inc. (BNA)</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=7 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Year Ended August 31,</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Increase (Decrease) in Net
Assets:</B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2014</B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2013</B></FONT></TD>
</TR>


<TR VALIGN="BOTTOM">
     <TD colspan="12" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Operations</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net investment income </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;23,612,292</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">23,559,363</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net realized gain </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,460,778</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,918,608</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net change in unrealized appreciation/depreciation </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">30,226,143</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(34,000,708</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net increase (decrease) in net assets resulting from operations </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">57,299,213</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(6,522,737</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="12" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Dividends to Shareholders From<SUP>1</SUP></DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net investment income </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(24,601,850</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(23,740,439</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="12" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Net Assets</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total increase (decrease) in net assets </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">32,697,363</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(30,263,176</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Beginning of year </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">377,805,198</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">408,068,374</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">End of year </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;410,502,561</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;377,805,198</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Undistributed net investment income, end of year </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,921,368</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,082,132</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=7 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BlackRock<BR> Income Trust, Inc.
(BKT)</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=7 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Year Ended August 31,</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Increase (Decrease) in Net
Assets:</B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2014</B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>2013</B></FONT></TD>
</TR>


<TR VALIGN="BOTTOM">
     <TD colspan="12" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Operations</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net investment income </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">22,116,133</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">20,368,194</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net realized gain (loss) </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(9,402,855</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">516,801</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net change in unrealized appreciation/depreciation </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">11,894,375</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(30,160,300</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net increase (decrease) in net assets resulting from operations </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">24,607,653</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(9,275,305</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="12" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Dividends to Shareholders From<SUP>1</SUP></DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net investment income </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(27,623,179</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(30,628,476</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="12" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Net Assets</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total decrease in net assets </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(3,015,526</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(39,903,781</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Beginning of year </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">467,948,039</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">507,851,820</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">End of year </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;464,932,513</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;467,948,039</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Undistributed net investment income, end of year </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9,245,640</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10,875,865</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Dividends for annual periods determined in
accordance with federal income tax regulations.</FONT></TD>
</TR>
</TABLE>
<!-- agabop mode="ep" last-style="finhi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">67<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_03-60344-financials PAGE POSITION: 5 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_03-60344-financials PAGE POSITION: 6 -->
<DIV align=left>
<!-- agabop mode="main" last-style="finhi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray><A NAME="a_009"></A>Statements of Cash Flows </FONT><FONT color=gray STYLE="font-size:
10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Year Ended August 31,
2014</B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BlackRock<BR> Core Bond<BR> Trust<BR>
(BHK)</B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BlackRock<BR> Corporate<BR> High
Yield<BR> Fund, Inc.<BR> (HYT)<SUP>1</SUP></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BlackRock<BR> Income<BR> Opportunity<BR>
Trust, Inc.<BR> (BNA)</B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BlackRock<BR> Income Trust,<BR> Inc.<BR>
(BKT)</B></FONT></TD>
</TR>


<TR VALIGN="BOTTOM">
     <TD colspan="20" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Cash Provided by Operating Activities</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net increase in net assets resulting from operations</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">56,665,722</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">182,057,657</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">57,299,213</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">24,607,653</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Adjustments to reconcile net increase in net assets resulting from operations<BR> to net cash provided by operating
activities:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">(Increase) decrease in interest receivable</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(30,919</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(703,126</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)<SUP>2</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(294,338</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">63,953</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">(Increase) decrease in swaps receivable</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6,680</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(75,734</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6,901</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13,683</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Decrease in other assets</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">29,378</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">96,026</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">16,208</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">(Increase) decrease in prepaid expenses</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,561</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(20,508</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)<SUP>2</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,672</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,713</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">(Increase) decrease in dividends receivable</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(13,711</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">54,081</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><SUP>2</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(13,711</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">(Increase) decrease in variation margin receivable on financial futures contracts</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">167,771</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,015</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">181,121</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(156,594</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">(Increase) decrease in variation margin receivable on centrally cleared swaps</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12,768</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12,678</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(20</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">(Increase) decrease in cash pledged as collateral for financial futures contracts</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">165,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(2,452,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)<SUP>2</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">227,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">388,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Increase in cash pledged as collateral for centrally cleared swaps</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(96,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(95,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Increase in cash pledged as collateral for OTC derivatives</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(510,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(770,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(20,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(4,800,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Decrease in cash pledged for reverse repurchase agreements</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,147,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,938,858</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,887,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">(Increase) decrease in swaps premiums paid</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">112,245</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(57,867</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)<SUP>2</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">41,242</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Increase (decrease) in investment advisory fees payable</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8,010</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(483,334</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)<SUP>2</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">14,323</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,780</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Increase (decrease) in interest expense payable</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(21,848</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(187,946</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)<SUP>2</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">83,898</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(6,722</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Increase (decrease) in other accrued expenses payable</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,616</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(165,690</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)<SUP>2</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,444</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">18,698</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Increase (decrease) in variation margin payable on financial futures contracts</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">40,558</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">155,496</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><SUP>2</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">51,432</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(226,600</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Increase (decrease) in variation margin payable on centrally cleared swaps</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,203</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,758</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(12</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Decrease in swaps payable</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(19,643</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(3,202</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(20,545</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(11,704</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Decrease in swaps premium received</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(57,765</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(5,210,403</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)<SUP>2</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(58,183</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(27,779</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Increase in Officer&#146;s and Trustees&#146; fees payable</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7,613</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">272,882</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><SUP>2</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">35,416</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">41,252</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Decrease in other liabilities</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(457,953</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(777,755</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Increase (decrease) in reorganization costs payable</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">180,616</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13,125</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><SUP>2</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">77,383</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">222,279</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Increase (decrease) in administration fees payable</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,366</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(558</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Increase in cash received as collateral for reverse repurchase agreements</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,378,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,162,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 30px; TEXT-INDENT:
-10px">Increase (decrease) in cash received as collateral for over the counter swaps</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,400,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">200,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,500,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">740,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net realized gain on investments and written options</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(3,238,825</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(51,356,670</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(3,510,291</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(16,048</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net unrealized gain on investments, swaps and foreign<BR> currency translation</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(30,562,253</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(31,832,531</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(30,859,938</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(11,842,664</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Amortization of premium and accretion of discount on investments</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,243,278</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,132,662</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,471,683</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7,165,810</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Premiums received from options written</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,119,437</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">814,307</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,133,210</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Proceeds from sales and principal paydowns of long-term investments</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">468,282,943</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,254,120,378</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><SUP>2</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">457,271,613</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,869,423,066</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Purchases of long-term investments</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(479,287,857</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,267,592,400</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)<SUP>2</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(470,884,125</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,923,902,877</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net proceeds from sales of short-term securities</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,593,017</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12,063,421</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><SUP>2</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,479,620</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6,994,374</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Premiums (paid) received on closing options written</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(2,054,956</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(1,056,096</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(2,061,900</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net cash provided by operating activities</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">28,879,639</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">89,460,564</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">25,500,071</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(29,406,669</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="20" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Cash Used for Financing Activities</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Proceeds from bank borrowings</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">619,000,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Payments on bank borrowings</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(609,000,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Payments for offering costs</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(650</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Amortization of deferred offering costs</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">29,671</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net borrowing of reverse repurchase agreements</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(4,214,736</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(723,585</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">57,070,372</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Cash dividends paid to shareholders</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(24,507,270</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(101,838,846</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(24,588,799</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(27,648,213</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Increase (decrease) in bank overdraft</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(157,427</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">224,629</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">48,720</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(15,490</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net cash used for financing activities</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(28,879,433</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(91,585,196</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(25,263,664</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">29,406,669</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" COLSPAN=20><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px">&nbsp;</DIV></FONT></TD>
</TABLE>
<!-- agabop mode="ep" last-style="finhi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">68</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_03-60344-financials PAGE POSITION: 6 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_03-60344-financials PAGE POSITION: 7 -->
<DIV align=left>
<!-- agabop mode="main" last-style="finhi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Statements of Cash Flows (concluded) </FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Year Ended August 31,
2014</B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BlackRock<BR> Core Bond<BR> Trust<BR>
(BHK)</B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BlackRock<BR> Corporate<BR> High
Yield<BR> Fund, Inc.<BR> (HYT)<SUP>1</SUP></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BlackRock<BR> Income<BR> Opportunity<BR>
Trust, Inc.<BR> (BNA)</B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BlackRock<BR> Income Trust,<BR> Inc.<BR>
(BKT)</B></FONT></TD>
</TR>


<TR VALIGN="BOTTOM">
     <TD colspan="20" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Cash Impact from Foreign Exchange Fluctuations</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Cash impact from foreign exchange fluctuations</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,790</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(4,222</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(3,922</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="20" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Cash and Foreign Currency</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net increase (decrease) in cash and foreign currency</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,996</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(2,128,854</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">232,485</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Cash and foreign currency at beginning of year</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">52,785</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">2,657,933</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><SUP>3</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">72,218</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Cash and foreign currency at end of year</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">54,781</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">529,079</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">304,703</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="20" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Supplemental Disclosure of Cash Flow Information</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Cash paid during the period for interest</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;432,192</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,493,301</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;336,480</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;309,244</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="20" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Non-cash Financing Activities</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Fair value of investments acquired through reorganization</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1,691,534,575</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Capital shares issued in reorganization</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1,178,342,562</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" COLSPAN=20><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px;
TEXT-INDENT: -6px">&nbsp;</DIV></FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Consolidated Statement of Cash Flows.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Includes assets and liabilities acquired in
reorganization.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Includes cash and foreign currency acquired in
reorganization of $2,642,772.</FONT></TD>
</TR>
</TABLE>
<!-- agabop mode="ep" last-style="finhi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">69<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_03-60344-financials PAGE POSITION: 7 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_03-60344-financials PAGE POSITION: 8 -->
<DIV align=left>
<!-- agabop mode="main" last-style="finhi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD STYLE="text-align: left; font-size: 14pt; border-top: gray 4pt solid; padding-bottom: 12pt"><FONT color=gray><A NAME="a_010"></A>Financial Highlights</FONT><FONT color=gray STYLE="font-size:
10pt">&nbsp;</FONT></TD>
<TD NOWRAP STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-bottom: 12pt"><B><FONT color=gray>BlackRock Core Bond Trust
(BHK)<BR></FONT></B></TD></TR></TABLE></DIV>
<!-- agabop mode="ep" last-style="finhi_footnote" -->
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=19 nowrap ALIGN="CENTER" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Year Ended August 31,<BR></B></B><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER" ></FONT></TD>
     <TD ALIGN="CENTER" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2014</B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2013</B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2012</B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2011</B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2010</B></B></FONT></TD>
</TR>


<TR VALIGN="BOTTOM">
     <TD colspan="24" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Per Share Operating Performance</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net asset value, beginning of year</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">14.05</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15.21</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13.78</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">14.19</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">12.56</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net investment income<SUP>1</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.87</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.89</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.88</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.83</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.87</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net realized and unrealized gain (loss)</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.23</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1.11</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.37</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.36</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.76</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net increase (decrease) from investment operations </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2.10</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.22</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2.25</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.47</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">2.63</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Dividends from net investment income<SUP>2</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.91</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.94</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.82</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.88</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(1.00</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net asset value, end of year</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15.24</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">14.05</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15.21</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13.78</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">14.19</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Market price, end of year</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13.64</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.50</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15.41</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.69</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">13.92</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="24" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Total Return<SUP>3</SUP></DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Based on net asset value</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">16.09%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>4</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1.42)%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">17.06%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; padding-right: 4px"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4.02%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">22.44%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Based on market price</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">16.78%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(13.43)%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">28.78%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(2.35)%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">25.93%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
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     <TD>&nbsp;</TD>
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     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="24" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Ratio to Average Net Assets</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total expenses</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.06%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>5</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.03%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.95%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.02%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.18%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total expenses after fees waived and paid indirectly</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.02%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>5</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.98%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.94%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.02%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.18%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total expenses after fees waived and paid indirectly and excluding interest expense</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.91%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>5</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.86%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.86%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.93%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.95%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net investment income</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5.94%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5.92%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.13%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.05%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">6.62%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="24" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Supplemental Data</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net assets, end of year (000)</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;412,078</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;379,913</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;411,136</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;372,295</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;383,540</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Borrowings outstanding, end of year (000) </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">168,301</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">172,537</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">182,679</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">152,301</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">168,938</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Average borrowings outstanding, during the year (000)</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">169,493</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">187,038</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">143,234</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">151,080</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">162,760</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Portfolio turnover rate<SUP>6</SUP> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">82%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">100%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">290%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">824%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">641%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Asset coverage, end of year per $1,000 </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,448</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,202</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,251</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,444</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">3,270</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="6px" ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;1</SUP> </FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Based on average shares outstanding.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="6px" ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;2</SUP> </FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Dividends for annual periods determined in
accordance with federal income tax regulations.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="6px" ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;3</SUP> </FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Total returns based on market price, which can be
significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any
sales charges and assumes the reinvestment of dividends and distributions.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="6px" ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;4</SUP> </FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Includes proceeds received from a settlement of
litigation, which impacted the Fund&#146;s total return. Excluding these proceeds, the Fund&#146;s total return would have been 16.01%.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="6px" ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;5</SUP> </FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Includes reorganization costs. Without these costs,
total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest
expense would have been 1.00 %, 0.96% and 0.85%, respectively.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="6px" ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;6</SUP> </FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Includes mortgage dollar roll transactions.
Additional information regarding portfolio turnover is as follows:</FONT></TD>
</TR>
</TABLE>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="60%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=19 WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Year Ended August
31,</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="60%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2014</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2013</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2012</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2011</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2010</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 11px; TEXT-INDENT:
-10px">Portfolio turnover (excluding mortgage dollar roll transactions)</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="5%" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">48%</DIV></FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="5%" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">63%</DIV></FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="5%" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">237%</DIV></FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="5%" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">544%</DIV></FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="5%" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">534%</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">70</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_03-60344-financials PAGE POSITION: 9 -->
<DIV align=left>
<!-- agabop mode="main" last-style="finhi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD STYLE="text-align: left; font-size: 14pt; border-top: gray 4pt solid; padding-bottom: 12pt"><FONT color=gray>Financial Highlights</FONT><FONT color=gray STYLE="font-size:
10pt">&nbsp;</FONT></TD>
<TD NOWRAP STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-bottom: 12pt"><B><FONT color=gray>BlackRock Corporate High
Yield Fund, Inc. (HYT)<BR></FONT></B></TD></TR></TABLE></DIV>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=19 nowrap ALIGN="CENTER" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Year Ended August 31,<BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2014<SUP>1</SUP></B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2013<SUP>1</SUP></B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2012<SUP>1</SUP></B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2011</B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2010</B></B></FONT></TD>
</TR>


<TR VALIGN="BOTTOM">
     <TD colspan="24" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Per Share Operating Performance</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net asset value, beginning of year </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.62</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.32</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.49</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.38</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">9.68</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net investment income<SUP>2</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.98</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.00</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.04</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.06</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.05</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net realized and unrealized gain</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.91</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.41</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.83</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.05</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.67</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net increase (decrease) from investment operations </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.89</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.41</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.87</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.11</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">2.72</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Dividends from net investment income<SUP>3</SUP> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1.04</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1.11</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1.04</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1.00</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(1.02</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net asset value, end of year</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13.47</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.62</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.32</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.49</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">11.38</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Market price, end of year </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.07</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.37</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12.96</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.21</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">11.19</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="24" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Total Return<SUP>4</SUP></DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Based on net asset value </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">16.21%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; padding-right: 4px"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.90%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">17.14%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9.95%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">29.26%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Based on market price </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15.58%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(4.16)%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">26.30%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9.09%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">29.92%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="24" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Ratio to Average Net Assets</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total expenses</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.35%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>5</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.54%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>6</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.51%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.41%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.34%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total expenses after fees waived and paid indirectly </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.35%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>5</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.54%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>6</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.51%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.41%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.34%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total expenses after fees waived and paid indirectly and excluding interest expense and income tax </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.98%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>5</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.16%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>6,7</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.19%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>8</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.12%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.09%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net investment income </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.40%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.83%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8.84%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8.80%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">9.52%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="24" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Supplemental Data</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net assets, end of year (000)</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,705,422</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;446,847</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;435,955</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;405,697</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;401,760</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Borrowings outstanding, end of year (000) </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">723,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">191,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">181,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">130,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">89,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Average borrowings outstanding, during the year (000)</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">584,041</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">180,436</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">142,342</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">115,512</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">76,356</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Portfolio turnover rate</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">64%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">77%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">61%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">87%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">85%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Asset coverage, end of year per $1,000 </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,359</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,340</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,409</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,121</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">5,514</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;1</SUP> </FONT></TD>
     <TD STYLE="width: 5pt; text-align: left">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Consolidated Financial Highlights.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;2</SUP> </FONT></TD>
     <TD STYLE="width: 5pt; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 98%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Based on average shares outstanding.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;3</SUP> </FONT></TD>
     <TD STYLE="width: 5pt; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 98%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Dividends for annual periods determined in
accordance with federal income tax regulations.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;4</SUP> </FONT></TD>
     <TD STYLE="width: 5pt; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 98%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Total returns based on market price, which can be
significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any
sales charges and assumes the reinvestment of dividends and distributions.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;5</SUP> </FONT></TD>
     <TD STYLE="width: 5pt; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 98%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Includes reorganization costs. Without these costs,
total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest
expense would have been 1.34 %, 1.34% and 0.97%, respectively.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;6</SUP> </FONT></TD>
     <TD STYLE="width: 5pt; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 98%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Includes reorganization costs. Without these costs,
total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest
expense would have been 1.50 %, 1.50% and 1.12%, respectively.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;7</SUP> </FONT></TD>
     <TD STYLE="width: 5pt; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 98%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">For the year ended August 31, 2013, the total
expense ratio after fees waived and paid indirectly and excluding interest expense, borrowing costs and income tax was 1.15%.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;8</SUP> </FONT></TD>
     <TD STYLE="width: 5pt; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 98%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">For the year ended August 31, 2012, the total
expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs was 1.09%.</FONT></TD>
</TR>
</TABLE>
<!-- agabop mode="ep" last-style="finhi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">71<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_03-60344-financials PAGE POSITION: 9 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_03-60344-financials PAGE POSITION: 10 -->
<DIV align=left>
<!-- agabop mode="main" last-style="finhi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD STYLE="text-align: left; font-size: 14pt; border-top: gray 4pt solid; padding-bottom: 12pt"><FONT color=gray>Financial Highlights</FONT><FONT color=gray STYLE="font-size:
10pt">&nbsp;</FONT></TD>
<TD NOWRAP STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-bottom: 12pt"><B><FONT color=gray>BlackRock Income
Opportunity Trust, Inc. (BNA)<BR></FONT></B></TD></TR></TABLE></DIV>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=19 nowrap ALIGN="CENTER" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Year Ended August 31,<BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2014</B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2013</B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2012</B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2011</B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2010</B></B></FONT></TD>
</TR>


<TR VALIGN="BOTTOM">
     <TD colspan="24" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Per Share Operating Performance</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net asset value, beginning of year </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10.96</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.84</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10.77</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.07</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">10.02</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net investment income<SUP>1</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.69</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.68</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.67</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.63</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.59</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net realized and unrealized gain (loss) </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.97</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.87</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.05</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.28</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.25</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net increase (decrease) from investment operations </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.66</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.19</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.72</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.35</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.84</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Dividends from net investment income<SUP>2</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.71</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.69</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.65</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.65</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(0.79</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net asset value, end of year</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.91</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10.96</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.84</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10.77</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">11.07</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Market price, end of year </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10.59</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9.64</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">11.58</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9.85</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">10.56</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="24" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Total Return<SUP>3</SUP></DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Based on net asset value</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">16.46%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1.47)%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">16.81%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; padding-right: 4px"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3.91%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">19.83%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Based on market price</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">17.73%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(11.39)%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">24.92%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.37)%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">18.69%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="24" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Ratio to Average Net Assets</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total expenses</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.01%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>4</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.93%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.90%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.95%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.09%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total expenses after fees waived and paid indirectly </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.93%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>4</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.93%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.90%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.95%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.09%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total expenses after fees waived and paid indirectly and excluding interest expense</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.83%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>4</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.81%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.82%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.85%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.86%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net investment income</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.02%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5.82%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5.97%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5.94%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">5.81%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="24" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Supplemental Data</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net assets end of year (000) </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;410,503</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;377,805</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;408,068</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;371,175</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;381,379</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Borrowings outstanding, end of year (000) </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">171,567</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">172,206</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">188,055</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">154,883</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">157,776</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Average borrowings outstanding, during the year (000)</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">174,069</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">185,003</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">151,411</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">148,617</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">151,700</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Portfolio turnover rate<SUP>5</SUP> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">80%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">101%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">285%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">774%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">720%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Asset coverage, end of year per $1,000 </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,393</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,194</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,170</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,396</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">3,417</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;1</SUP> </FONT></TD>
     <TD STYLE="width: 5pt; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 98%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Based on average shares outstanding.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;2</SUP> </FONT></TD>
     <TD STYLE="width: 5pt; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 98%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Dividends for annual periods determined in
accordance with federal income tax regulations.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;3</SUP> </FONT></TD>
     <TD STYLE="width: 5pt; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 98%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Total returns based on market price, which can be
significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any
sales charges and assumes the reinvestment of dividends and distributions.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;4</SUP> </FONT></TD>
     <TD STYLE="width: 5pt; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 98%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Includes reorganization costs. Without these costs,
total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest
expense would have been 0.92%, 0.84% and 0.73%, respectively.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;5</SUP> </FONT></TD>
     <TD STYLE="width: 5pt; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 98%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Includes mortgage dollar roll transactions.
Additional information regarding portfolio turnover is as follows:</FONT></TD>
</TR>
</TABLE>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="60%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=19 WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Year Ended August
31,</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="60%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2014</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2013</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2012</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2011</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2010</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 11px; TEXT-INDENT:
-10px">Portfolio turnover (excluding mortgage dollar roll transactions)</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="5%" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">46%</DIV></FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="5%" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">63%</DIV></FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="5%" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">231%</DIV></FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="5%" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">492%</DIV></FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="5%" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">608%</DIV></FONT></TD>
</TR></TABLE>
<!-- agabop mode="ep" last-style="finhi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">72</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- END DIVISION: DIV_03-60344-financials PAGE POSITION: 10 -->
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_03-60344-financials PAGE POSITION: 11 -->
<DIV align=left>
<!-- agabop mode="main" last-style="finhi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD STYLE="text-align: left; font-size: 14pt; border-top: gray 4pt solid; padding-bottom: 12pt"><FONT color=gray>Financial Highlights</FONT><FONT color=gray STYLE="font-size:
10pt">&nbsp;</FONT></TD>
<TD NOWRAP STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif; padding-bottom: 12pt"><B><FONT color=gray>BlackRock Income Trust,
Inc. (BKT)<BR></FONT></B></TD></TR></TABLE></DIV>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=19 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Year Ended August 31,</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2014</B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2013</B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2012</B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2011</B></B></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2010</B></B></FONT></TD>
</TR>


<TR VALIGN="BOTTOM">
     <TD colspan="24" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Per Share Operating Performance</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net asset value, beginning of year</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.32</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.94</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.96</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.76</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">7.12</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net investment income<SUP>1</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.35</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.32</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.39</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.35</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.20</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net realized and unrealized gain (loss) </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.03</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.46</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.06</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.19</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.73</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net increase (decrease) from investment operations </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.38</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.14</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.45</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.54</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.93</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Dividends and distributions from:<SUP>2</SUP> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="margin-left: 20px; text-indent: -10px">Net investment income </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.43</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.48</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.27</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.34</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.26</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Net realized gain</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.20</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(0.03</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total dividends and distributions</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.43</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.48</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.47</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(0.34</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(0.29</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net asset value, end of year</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.27</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.32</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.94</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.96</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">7.76</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Market price, end of year </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.42</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.40</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.63</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.18</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">6.95</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="24" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Total Return<SUP>3</SUP>&nbsp;&nbsp;</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Based on net asset value </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.05%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1.45)%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.24%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.70%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">13.86%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Based on market price </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7.12%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(10.34)%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13.19%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8.47%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">11.19%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="24" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Ratio to Average Net Assets</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total expenses</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.02%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>4</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.00%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.97%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.06%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.05%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total expenses after fees waived and paid indirectly </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.02%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>4</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.00%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.97%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.05%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1.02%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Total expenses after fees waived and paid indirectly and excluding interest expense </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.96%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"> <SUP>4</SUP>&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.90%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.90%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.94%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">0.92%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net investment income</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4.74%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4.18%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4.86%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4.43%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">2.72%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>


<TR STYLE="vertical-align: bottom">
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD colspan="24" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT: -6px">Supplemental Data</DIV></FONT></B></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Net assets end of year (000) </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;464,933</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;467,948</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;507,852</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;508,765</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;496,260</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Borrowings outstanding, end of year (000) </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">205,415</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">148,344</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">119,706</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">233,676</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">106,985</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Average borrowings outstanding, during the year (000)</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">197,388</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">188,924</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">183,890</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">116,771</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">23,316</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Portfolio turnover rate<SUP>5</SUP> </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">256%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">358%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">487%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">899%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">883%</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Asset coverage, end of year per $1,000 </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,263</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,154</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,242</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,177</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="5%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">5,639</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;1</SUP> </FONT></TD>
     <TD STYLE="width: 5pt; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 98%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Based on average shares outstanding.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;2</SUP> </FONT></TD>
     <TD STYLE="width: 5pt; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 98%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Dividends and distributions for annual periods
determined in accordance with federal income tax regulations.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;3</SUP> </FONT></TD>
     <TD STYLE="width: 5pt; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 98%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Total returns based on market price, which can be
significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any
sales charges and assumes the reinvestment of dividends and distributions.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;4</SUP> </FONT></TD>
     <TD STYLE="width: 5pt; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 98%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Includes reorganization costs. Without these costs,
total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest
expense would have been 0.97%, 0.97% and 0.90%, respectively.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; margin-top: 6pt">
<TR VALIGN="TOP">
     <TD NOWRAP STYLE="width: 17pt; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><SUP>&nbsp;5</SUP> </FONT></TD>
     <TD STYLE="width: 5pt; text-align: left">&nbsp;</TD>
     <TD STYLE="width: 98%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt">Includes mortgage dollar roll transactions.
Additional information regarding portfolio turnover is as follows:</FONT></TD>
</TR>
</TABLE>
<TABLE ALIGN="" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="60%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=19 WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Year Ended August
31,</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="60%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2014</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2013</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2012</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2011</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" WIDTH="5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>2010</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="60%" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 11px; TEXT-INDENT:
-10px">Portfolio turnover (excluding mortgage dollar roll transactions)</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="5%" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">125%</DIV></FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="5%" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">196%</DIV></FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="5%" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">230%</DIV></FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="5%" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">387%</DIV></FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="5%" COLSPAN="3" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">207%</DIV></FONT></TD>
</TR></TABLE>
<!-- agabop mode="frill" last-style="finhi_footnote" -->
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT">See Notes to Financial
Statements.<BR></FONT></DIV></P>
<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">73<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>

<!-- Field: Split-Segment; Name: 03 -->

<DIV align=left>
<!-- agabop mode="main" last-style="finhi_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray><A NAME="a_011"></A>Notes to Financial Statements </FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>1. Organization:</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">BlackRock Core Bond Trust (&#147;BHK&#148;), BlackRock Corporate
High Yield Fund, Inc. (formerly known as BlackRock Corporate High Yield Fund VI, Inc.) (&#147;HYT&#148;), BlackRock Income Opportunity Trust, Inc.
(&#147;BNA&#148;) and BlackRock Income Trust, Inc. (&#147;BKT&#148;) (collectively, the &#147;Trusts&#148; or individually as a &#147;Trust&#148;) are
registered under the 1940 Act, as diversified, closed-end management investment companies. HYT, BNA and BKT are organized as Maryland corporations. BHK
is organized as a Delaware statutory trust. The Boards of Directors and Board of Trustees of the Trusts are collectively referred to throughout this
report as the &#147;Board of Trustees&#148; or the &#147;Board&#148;, and the directors/trustees thereof are collectively referred to throughout this
report as &#147;Trustees&#148;. The Trusts determine and make available for publication the NAVs of their Common Shares on a daily
basis.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Reorganizations:</B> The Board and shareholders of HYT and the
Board and shareholders of each of BlackRock Corporate High Yield Fund, Inc. (COY), BlackRock Corporate High Yield Fund III, Inc. (CYE), BlackRock
Corporate High Yield Fund V, Inc. (HYV), BlackRock High Income Shares (HIS) and BlackRock High Yield Trust (BHY) (individually a &#147;HYT Target&#148;
and collectively the &#147;HYT Target Funds&#148;) approved the reorganizations of each HYT Target Fund into the Trust pursuant to which the Trust
acquired substantially all of the assets and substantially all of the liabilities of each HYT Target Fund in exchange for an equal aggregate value of
newly-issued shares of the Trust. On February 28, 2014, the Trust changed its name from BlackRock Corporate High Yield Fund VI, Inc. to BlackRock
Corporate High Yield Fund, Inc.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Each Common Shareholder of HYT Target received Common Shares of
HYT in an amount equal to the aggregate net asset value of such shareholder&#146;s Target Fund shares, as determined at the close of business on
November 15, 2013, less the costs of the Target Fund&#146;s reorganization. Cash was distributed for any fractional shares.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The reorganizations were accomplished by a tax-free exchange of
shares of HYT in the following amounts and at the following conversion ratios:</FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Target Fund<BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Shares Prior to<BR>
Reorganization</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Conversion<BR> Ratio</B></B><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Shares of<BR> HYT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">COY</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 7pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">35,027,459</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.59633674</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">20,888,115</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">CYE</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 7pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">37,552,995</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.61218457</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">22,989,338</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">HYV</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 7pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">33,015,111</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.02665810</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">33,895,222</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">HIS</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 7pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">54,848,390</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.17536312</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9,618,090</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BHY</DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 7pt; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6,431,296</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.58941105</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,790,663</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Each HYT Target&#146;s net assets and composition of net assets on
November 15, 2013, the valuation date of the reorganization, were as follows:</FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="42.5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=19 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Target Funds</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="42.5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>COY</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>CYE</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>HYV</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>HIS</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BHY</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Net assets</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">269,933,969</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">297,104,927</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">438,025,175</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">124,291,816</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">48,986,675</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Paid-in capital</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">305,529,497</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">325,149,382</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">469,523,241</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">151,358,421</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">57,800,581</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="margin-left: 6px; text-indent: -6px">Distributions in excess of net investment income</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,185,651</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,350,006</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,971,210</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(754,598</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(176,691</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Accumulated net realized loss</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(41,042,210</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(35,328,795</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(45,260,726</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(28,812,095</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(11,055,877</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Net unrealized appreciation</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">6,632,333</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">8,634,346</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">15,733,870</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">2,500,088</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">2,418,662</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">For financial reporting purposes, assets received and shares
issued by HYT were recorded at fair value. However, the cost basis of the investments received from the HYT Target were carried forward to align
ongoing reporting of HYT&#146;s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The net assets of HYT before the acquisition were $457,705,742.
The aggregate net assets of HYT immediately after the acquisition amounted to $1,636,048,304. Each HYT Target&#146;s fair value and cost of investments
and derivative financial instruments prior to the reorganization were as follows:</FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Target Fund<BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Fair Value of<BR>
Investments</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Cost of<BR> Investments</B></B><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">COY</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">390,967,349</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">384,382,845</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">CYE</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">426,116,528</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">417,548,014</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">HYV</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">635,374,976</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">619,705,167</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">HIS</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">168,353,486</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">165,699,553</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BHY</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">69,538,358</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">67,121,555</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The purpose of these transactions was to combine six funds managed
by BlackRock Advisors, LLC (the &#147;Manager&#148;) with the same or substantially similar (but not identical) investment objectives, investment
policies, strategies, risks and restrictions. Each reorganization was a tax-free event and was effective on November 18, 2013.</FONT></DIV></P>
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<TD STYLE="text-align: left; width: 33%">74</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
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50%">&nbsp;</TD></TR></TABLE></DIV>
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<TD width="36%"></TD></TR>
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Notes to Financial Statements (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Assuming the acquisition had been completed on September 1, 2013
the beginning of the fiscal reporting period of HYT, the pro forma results of operations for the year ended August 31, 2014, are as
follows:</FONT></DIV></P>
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<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV >&#149;&nbsp;&nbsp;</DIV></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2">Net investment income: $124,066,786</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV >&#149;&nbsp;&nbsp;</DIV></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2">Net realized and change in unrealized gain/loss on investments:
$114,665,188</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV >&#149;&nbsp;&nbsp;</DIV></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2">Net increase/decrease in net assets resulting from operations:
$238,731,974</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Because the combined investment portfolios have been managed as a
single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Target
Funds that have been included in HYT&#146;s Consolidated Statement of Operations since November 18, 2013.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Reorganization costs incurred in connection with the
reorganizations were expensed by HYT.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">On June 6, 2014, the Boards of BHK, BNA and BKT approved the
reorganizations of BKT and BNA with and into BHK, with BHK continuing as the surviving fund after the reorganizations. At a special meeting of
shareholders on September 30, 2014, the shareholders of BHK and BNA approved the reorganization of BNA with and into BHK, which is expected to be
completed in late 2014. The reorganization of BKT with and into BHK was not approved by BKT shareholders. Consequently, the reorganization of BKT with
and into BHK will not be completed. Regardless of whether the reorganizations are completed, the costs associated with the proposed reorganizations,
including the costs associated with the shareholder meeting, will be borne directly by the respective Trust incurring the expense or allocated among
BHK, BNA and BKT proportionately or on another reasonable basis, as appropriate. The Manager has agreed to pay $300,000 of BNA&#146;s reorganization
costs, which is shown as reorganization costs reimbursed by Manager in the Statements of Operations.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Basis of Consolidation:</B> HYT&#146;s accompanying
consolidated financial statements include the accounts of BLK HYT (Luxembourg) Investments, S.a.r.l., BLK HYV (Luxembourg) Investments, S.a.r.l., BLK
COY (Luxembourg) Investments, S.a.r.l. and BLK CYE (Luxembourg) Investments, S.a.r.l. (the &#147;Taxable Subsidiaries&#148;), all of which are wholly
owned Taxable Subsidiaries of HYT which hold shares of private Canadian companies, Laricina Energy Ltd. and Osum Oil Sands Corp. Such shares are held
in the Taxable Subsidiaries in order to realize benefits under the Double Tax Avoidance Convention between Canada and Luxembourg, the result of which
is gains on the sale of such shares will not be subject to capital gains taxes in Canada. Income earned on the investments held by the Taxable
Subsidiaries may be taxable to such subsidiaries in Luxembourg. A tax provision, if any, is included in expenses in the Consolidated Statements of
Operations. A tax provision for realized and unrealized gain, if any, is included as a reduction of realized and/or unrealized gain (loss) in the
Consolidated Statements of Operations. The net assets of the Taxable Subsidiaries at August 31, 2014 were $14,152,153 or 0.8% of HYT&#146;s
consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Taxable Subsidiaries are subject to the same
investment policies and restrictions that apply to the Trust.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>2. Significant Accounting Policies:</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Trusts&#146; financial statements are prepared in conformity
with accounting principles generally accepted in the United States of America (&#147;U.S. GAAP&#148;), which may require management to make estimates
and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and
decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The following is a summary of
the significant accounting policies followed by the Trusts:</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Valuation: </B>U.S. GAAP defines fair value as the price the
Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The
Trusts determine the fair value of their financial instruments at market value using independent dealers or pricing services under policies approved by
the Board. The BlackRock Global Valuation Methodologies Committee (the &#147;Global Valuation Committee&#148;) is the committee formed by management to
develop global pricing policies and procedures and to provide oversight of the pricing function for the Trusts for all financial
instruments.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Bond investments are valued on the basis of last available bid
prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from
one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use
certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable
investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed
securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a
benchmark yield and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche. Financial
futures contracts traded on exchanges are valued at their last sale price. To-be-announced (&#147;TBA&#148;) commitments are valued on the basis of
last available bid prices or current market quotations provided by pricing services. Swap agreements are valued utilizing quotes</FONT></DIV></P>
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<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">75<BR></TD></TR></TABLE></DIV>
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50%">&nbsp;</TD></TR></TABLE></DIV>
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Notes to Financial Statements (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><BR>received daily by the Trusts&#146; pricing service or through
brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades
and values of the underlying reference&nbsp;instruments. Certain centrally cleared swaps are valued at the price determined by the relevant exchange or
clearinghouse. Investments in open-end registered investment companies are valued at NAV each business day.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Municipal investments (including commitments to purchase such
investments on a &#147;when-issued&#148; basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of
a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers,
pricing matrixes, market transactions in comparable investments and information with respect to various relationships between
investments.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Equity investments traded on a recognized securities exchange or
the NASDAQ Stock Market (&#147;NASDAQ&#148;) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable.
For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used.
Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or
ask (short positions) price.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Securities and other assets and liabilities denominated in foreign
currencies are translated into U.S. dollars using exchange rates determined as of the close of business on the New York Stock Exchange
(&#147;NYSE&#148;). Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the
close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not
available.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Exchange-traded options are valued at the mean between the last
bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued
at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day&#146;s price will be used, unless
it is determined that the prior day&#146;s price no longer reflects the fair value of the option. Over-the-counter (&#147;OTC&#148;) options and
swaptions are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the
trades and prices of the underlying instruments.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">In the event that the application of these methods of valuation results in a price for an investment that
                                                                   is deemed not to be representative of the market value of such investment, or if a price is not available, the investment
                                                                   will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as
                                                                   reflecting fair value (&#147;Fair Value Assets&#148;). When determining the price for Fair Value Assets, the Global Valuation
                                                                   Committee, or its delegate, seeks to determine the price that each 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 Global Valuation Committee, or its delegate, deems relevant consistent with the principles of fair value
                                                                   measurement, which include the market approach, income approach and/or in the case of recent investments, the cost approach,
                                                                   as appropriate. The market approach generally consists of using comparable market transactions. The income approach generally
                                                                   is used to discount future cash flows to present value and is adjusted for liquidity as appropriate. These factors include
                                                                   but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or
                                                                   asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market
                                                                   participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in
                                                                   active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment
                                                                   speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent
                                                                   uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an
                                                                   active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation
                                                                   approaches for investments where an active market does not exist, including regular due diligence of the Trusts&#146; pricing
                                                                   vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare
                                                                   unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market
                                                                   values and reviews of any market related activity. The pricing of all Fair Value Assets is subsequently reported to the Board
                                                                   or a committee thereof on a quarterly basis.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Generally, trading in foreign instruments is substantially
completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur
between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of each Trust&#146;s net assets. If
events (e.g., a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the
value of such instruments, those instruments may be Fair Value Assets and be valued at their fair value, as determined in good faith by the Global
Valuation Committee, or its delegate, using a pricing service and/or policies approved by the Board. Each business day, the Trusts use a pricing
service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and OTC options (the
&#147;Systematic Fair Value Price&#148;). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities
and foreign options at fair value as of the close of business on the NYSE, which follows the close of the local markets.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Foreign Currency:</B> The Trusts&#146; books and records are
maintained in U.S. dollars. Purchases and sales of investment securities are recorded at the rates of exchange prevailing on the respective date of
such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the Trusts&#146; investments denominated in that currency
will lose value because that currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative
value.</FONT></DIV></P>
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Notes to Financial Statements (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;&nbsp;</FONT></TD>
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<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Trusts do not isolate the portion of the results of operations
arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting
purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are not segregated in the Statements of Operations from
the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from
investments. The Trusts report realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for
financial reporting purposes, whereas such components are generally treated as ordinary income for federal income tax purposes.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Segregation and Collateralization:</B> In cases where a Trust
enters into certain investments (e.g., dollar rolls, TBA sale commitments, financial futures contracts, forward foreign currency exchange contracts,
options written, swaps and short sales) or certain borrowings (e.g., reverse repurchase transactions) that would be &#147;senior securities&#148; for
1940 Act purposes, each Trust may segregate or designate on its books and records cash or liquid securities having a market value at least equal to the
amount of each Trust&#146;s future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from
treatment as a &#147;senior security.&#148; Furthermore, if required by an exchange or counterparty agreement, each Trust may be required to
deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or
obligations.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Investment Transactions and Investment Income:</B> For
financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and
losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from
foreign securities where the ex-dividend date may have passed are subsequently recorded when the Trusts are informed of the ex-dividend date. Under the
applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from
issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment
and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual
basis.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Dividends and Distributions:</B> Dividends from net investment
income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend date. The character and timing of dividends and
distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Deferred Compensation Plan:</B> Under the Deferred Compensation
Plan (the &#147;Plan&#148;) approved by each Trust&#146;s Board, the independent Trustees (&#147;Independent Trustees&#148;) may defer a portion of
their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common
shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has the same economic effect for the Independent Trustees
as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Plan is not funded and obligations thereunder represent
general unsecured claims against the general assets of each Trust. Deferred compensation liabilities are included in officer&#146;s and trustees&#146;
fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance
with the Plan.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Recent Accounting Standard:</B> In June 2014, the Financial
Accounting Standards Board issued guidance to improve the financial reporting of reverse repurchase agreements and other similar transactions. The
guidance will require expanded disclosure for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured
borrowings. It is effective for financial statements with fiscal years beginning on or after December 15, 2014 and interim periods within those fiscal
years. Management is evaluating the impact, if any, of this guidance on the Funds&#146; financial statement disclosures.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Other:</B> Expenses directly related to a Trust are charged to
that Trust. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate
methods.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Trusts have an arrangement with the custodian whereby fees may
be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The
custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody
charges.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>3. Securities and Other Investments:</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Asset-Backed and Mortgage-Backed Securities:</B> Certain Trusts
may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional
ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally
issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities
are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed
securities may differ from traditional debt securities. One such major difference is that all or a principal part of the</FONT></DIV></P>
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<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Notes to Financial Statements (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
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<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><BR>obligations may be prepaid at any time because the underlying
assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of
prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed
security subject to such a prepayment feature will have the effect of shortening the maturity of the security. In addition, the Trusts may subsequently
have to reinvest the proceeds at lower interest rates. If the Trusts have purchased such an asset-backed security at a premium, a faster than
anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Certain Trusts may purchase certain mortgage pass-through
securities. There are a number of important differences among the agencies and instrumentalities of the U.S. government that issue mortgage-related
securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely
payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However,
mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates,
which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but
are supported by the right of the issuer to borrow from the Treasury.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Collateralized Debt Obligations:</B> Certain Trusts may invest
in collateralized debt obligations (&#147;CDOs&#148;), which include collateralized bond obligations (&#147;CBOs&#148;) and collateralized loan
obligations (&#147;CLOs&#148;). CBOs and CLOs are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt
securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called &#147;tranches,&#148; which
will vary in risk profile and yield. The riskiest segment is the subordinated or &#147;equity&#148; tranche. This tranche bears the greatest risk of
defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe
circumstances. Since it is shielded from defaults by the more junior tranches, a &#147;senior&#148; tranche will typically have higher credit ratings
and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating
agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased
sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying
pool of assets.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Multiple Class Pass-Through Securities:</B> Certain Trusts may
invest in multiple class pass-through securities, including collateralized mortgage obligations (&#147;CMOs&#148;) and commercial mortgage-backed
securities. These multiple class securities may be issued by Ginnie Mae, U.S. government agencies or instrumentalities or by trusts formed by private
originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by, and multiple class
pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loans or mortgage pass-through securities
(the &#147;Mortgage Assets&#148;), the payments on which are used to make payments on the CMOs or multiple pass-through securities. Classes of CMOs
include interest only (&#147;IOs&#148;), principal only (&#147;POs&#148;), planned amortization classes and targeted amortization classes. IOs and POs
are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and
principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile
in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs
perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to
maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity
is reduced. If the underlying Mortgage Assets experience greater than anticipated pre-payments of principal, the Trusts may not fully recoup their
initial investment in IOs.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Stripped Mortgage-Backed Securities:</B> Certain Trusts may
invest in stripped mortgage-backed securities issued by the U.S. government, its agencies and instrumentalities. Stripped mortgage-backed securities
are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of
Mortgage Assets. The Trusts also may invest in stripped mortgage-backed securities that are privately issued.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Zero-Coupon Bonds:</B> Certain Trusts may invest in zero-coupon
bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may
experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Capital Trusts and Trust Preferred Securities:</B> Certain
Trusts may invest in capital trusts and/or trust preferred securities. These securities are typically issued by corporations, generally in the form of
interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of
beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable
coupon securities that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation will pay
interest to the trust, which will then be distributed to holders of the trust preferred securities as a dividend. Dividends can be deferred without
creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral
of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather
than dividends for federal income tax purposes. These securities generally are rated below that of the issuing company&#146;s senior debt securities
and are freely callable at the issuer&#146;s option.</FONT></DIV></P>
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<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Notes to Financial Statements (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
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<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Preferred Stock:</B> Certain Trusts may invest in preferred
stock. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the
liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element
varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some
element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit
quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield
characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer&#146;s board of
directors. Preferred stock also may be subject to optional or mandatory redemption provisions.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Floating Rate Loan Interests:</B> Certain Trusts may invest in
floating rate loan interests. The floating rate loan interests held by the Trusts are typically issued to companies (the &#147;borrower&#148;) by
banks, other financial institutions, and privately and publicly offered corporations (the &#147;lender&#148;). Floating rate loan interests are
generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. The
Trusts may invest in obligations of borrowers who are in bankruptcy proceedings. Floating rate loan interests may include fully funded term loans or
revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan
interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates
are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (&#147;LIBOR&#148;), the prime rate
offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may
be denominated in foreign currencies. The Trusts consider these investments to be investments in debt securities for purposes of their investment
policies.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">When a Trust purchases a floating rate loan interest it may
receive a facility fee and when it sells a floating rate loan interest it may pay a facility fee. On an ongoing basis, the Trusts may receive a
commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are
typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as
earned. Prepayment penalty fees, which may be received by the Trusts upon the prepayment of a floating rate loan interest by a borrower, are recorded
as realized gains. The Trusts may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry
different associated risks.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Floating rate loan interests are usually freely callable at the
borrower&#146;s option. The Trusts may invest in such loans in the form of participations in loans (&#147;Participations&#148;) or assignments
(&#147;Assignments&#148;) of all or a portion of loans from third parties. Participations typically will result in the Trusts having a contractual
relationship only with the lender, not with the borrower. The Trusts will have the right to receive payments of principal, interest and any fees to
which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In
connection with purchasing Participations, the Trusts generally will have no right to enforce compliance by the borrower with the terms of the loan
agreement, nor any rights of offset against the borrower, and the Trusts may not benefit directly from any collateral supporting the loan in which it
has purchased the Participation. As a result, the Trusts will assume the credit risk of both the borrower and the lender that is selling the
Participation. The Trusts&#146; investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are
parties to the transactions. In the event of the insolvency of the lender selling the Participation, the Trusts may be treated as a general creditor of
the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in the Trusts having a direct
contractual relationship with the borrower, and the Trusts may enforce compliance by the borrower with the terms of the loan
agreement.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">In connection with floating rate loan interests, the Trusts may
also enter into unfunded loan commitments (&#147;commitments&#148;). In connection with these commitments, the Trusts earn a commitment fee, typically
set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized
ratably over the commitment period. Commitment fees received in advance and unrecognized are recorded in the Statements of Assets and Liabilities as
deferred income. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation or depreciation is included in the
Statements of Assets and Liabilities and Statements of Operations. As of August 31, 2014 the Trusts had no outstanding unfunded floating rate loan
interests.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Forward Commitments and When-Issued Delayed Delivery
Securities:</B> Certain Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis.
Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Trusts may purchase
securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before
the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Trusts may be required to pay more at settlement
than the security is worth. In addition, the Trusts are not entitled to any of the interest earned prior to settlement. When purchasing a security on a
delayed delivery basis, the Trusts assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the
event of default by the counterparty, the Trusts&#146; maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions,
which is shown in the Schedules of Investments.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>TBA Commitments:</B> Certain Trusts may enter into TBA
commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery
on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities
must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA</FONT></DIV></P>
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<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">79<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
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50%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV align=left>
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Notes to Financial Statements (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><BR>commitments, the Trusts may take possession of or deliver the
underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the
security to be purchased or sold declines or increases, respectively, prior to settlement date.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Mortgage Dollar Roll Transactions:</B> Certain Trusts may sell
TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a
specific future date at an agreed upon price. During the period between the sale and repurchase, the Trusts will not be entitled to receive interest
and principal payments on the securities sold. The Trusts account for mortgage dollar roll transactions as purchases and sales and realizes gains and
losses on these transactions. These transactions may increase the Trusts&#146; portfolio turnover rate. Mortgage dollar rolls involve the risk that the
market value of the securities that the Trusts are required to purchase may decline below the agreed upon repurchase price of those
securities.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Borrowed Bond Agreements:</B> Certain Trusts may enter into
borrowed bond agreements. In a borrowed bond agreement, the Trusts borrow a bond from a counterparty in exchange for cash collateral. The borrowed bond
agreement contains a commitment that the security and the cash will be returned to the counterparty and the Trusts, respectively, at a mutually agreed
upon date. Certain agreements have no stated maturity and can be terminated by either party at any time. Borrowed bond agreements are entered into
primarily in connection with short sales of bonds. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon
rates between the Trusts and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the
borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the
counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash
collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. Full realization of the
collateral by the Trusts may be limited if the value of an investment purchased with the cash collateral by the lender decreases. The Trusts may also
experience delays in gaining access to the collateral.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Reverse Repurchase Agreements:</B> Certain Trusts may enter
into reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Trusts sell securities to a bank
or broker-dealer and agree to repurchase the same securities at a mutually agreed upon date and price. During the term of the reverse repurchase
agreement, the Trusts continue to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and
can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon
competitive market rates determined at the time of issuance. The Trusts may utilize reverse repurchase agreements when it is anticipated that the
interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse
repurchase agreements involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the
repurchase price.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">For financial reporting purposes, cash received in exchange for
securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value
including accrued interest. Due to the short term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments
made by the Trusts to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased
demand for the security, the Trusts may receive a fee for use of the security by the counterparty, which may result in interest income to the
Trusts.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">For the year ended August 31, 2014, the daily weighted average
interest rates from reverse repurchase agreements were as follows:</FONT></DIV></P>
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<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP COLSPAN="1" STYLE="width: 100%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="1"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="1" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Daily Weighted<BR> Average<BR>
Interest Rate</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="1" STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: left">BHK </DIV></FONT></TD>
     <TD COLSPAN="1">&nbsp;</TD>
     <TD COLSPAN="1">&nbsp;</TD>
     <TD COLSPAN="1">&nbsp;</TD>
     <TD COLSPAN="1" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.24%</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="1" STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: left">BNA </DIV></FONT></TD>
     <TD COLSPAN="1">&nbsp;</TD>
     <TD COLSPAN="1">&nbsp;</TD>
     <TD COLSPAN="1">&nbsp;</TD>
     <TD COLSPAN="1" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.24%</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="1" STYLE="text-align: left; width: 100%; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: left">BKT</DIV></FONT></TD>
     <TD COLSPAN="1" STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD COLSPAN="1" STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD COLSPAN="1" STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD COLSPAN="1" STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">0.15%</DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Reverse repurchase transactions and borrowed bond agreements are
entered into by the Trusts under Master Repurchase Agreements (&#147;MRA&#148;), which permit the Trusts, under certain circumstances, including an
event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the
counterparty and create one single net payment due to or from the Trusts. With reverse repurchase transactions and borrowed bond agreements, typically
the Trusts and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency
laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty&#146;s
bankruptcy or insolvency. Pursuant to the terms of the MRA, the Trusts receive or post securities as collateral with a market value in excess of the
repurchase price to be paid or received by the Trusts upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty,
the Trusts are considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be
delayed.</FONT></DIV></P>
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<TD STYLE="text-align: left; width: 33%">80</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV align=left>
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<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
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<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Notes to Financial Statements (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The following table is a summary of the Trusts&#146; open
repurchase agreements and borrowed bond agreements by counterparty which are subject to offset under an MRA on a net basis as of August 31,
2014:</FONT></DIV></P>
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<TR VALIGN="BOTTOM">
     <TD COLSPAN=20 WIDTH="52.5%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BHK<BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="52.5%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Counterparty<BR></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Reverse<BR> Repurchase<BR>
Agreements</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Fair Value of<BR> Non-cash
Collateral<BR> Pledged Including<BR> Accrued Interest<SUP>1</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Cash<BR> Collateral<BR>
Pledged/Received</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Net<BR> Amount</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="52.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Capital, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">14,913,465</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(14,913,465</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="52.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BNP Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">66,328,249</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(66,328,249</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="52.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Citigroup Global Markets, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6,726,418</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(6,726,418</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD STYLE="text-align: center">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD STYLE="text-align: center">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="52.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">23,596,107</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(23,596,107</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="52.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank Securities, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10,001,451</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(10,001,451</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="52.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Merrill Lynch, Pierce, Fenner &amp; Smith, Inc. </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13,937,451</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(13,937,451</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="52.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">RBC Capital Markets, LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,464,699</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,464,699</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD STYLE="text-align: center">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD STYLE="text-align: center">&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="52.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">UBS Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">31,332,937</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(31,332,937</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="52.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">168,300,777</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(168,300,777</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Net collateral with a value of $176,020,238 has been
pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown
for financial reporting purposes.</FONT></TD>
</TR>
</TABLE>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD COLSPAN=20 WIDTH="52.5%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BNA<BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="52.5%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Counterparty<BR></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Reverse<BR> Repurchase<BR>
Agreements</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Fair Value of<BR> Non-cash
Collateral<BR> Pledged Including<BR> Accrued Interest<SUP>2</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Cash<BR> Collateral<BR>
Pledged/Received</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Net<BR> Amount</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="52.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Capital, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8,863,776</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(8,863,776</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="52.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BNP Paribas Securities Corp.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">55,178,541</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(55,178,541</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="52.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse Securities (USA) LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">35,190,271</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(35,190,271</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="52.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank Securities, Inc.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">12,141,341</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(12,141,341</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="52.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Merrill Lynch, Pierce, Fenner &amp; Smith, Inc. </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">25,077,518</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(25,077,518</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="52.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">RBC Capital Markets, LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6,696,626</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(6,696,626</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="52.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">UBS Securities LLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">28,418,498</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(28,418,498</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="52.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 171,566,571</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">
(171,566,571</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Net collateral with a value of $179,439,228 has been
pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown
for financial reporting purposes.</FONT></TD>
</TR>
</TABLE>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 9pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP COLSPAN="30" STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>BKT</B></FONT><FONT STYLE="font-size: 8pt"><BR><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Counterparty</B></FONT><FONT STYLE="font-size: 8pt"><BR><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Borrowed</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Bonds</B></FONT><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Agreements<SUP>3</SUP></B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Reverse</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Repurchase</B></FONT><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Agreements</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Borrowed</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Bonds at</B></FONT><BR><FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>
     Value</B></FONT><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>including</B></FONT><BR><FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>
     Accrued</B></FONT><BR><FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B> Interest<SUP>4</SUP></B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Net Amount</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>before <BR>
Collateral</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Non-cash</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Collateral</B></FONT><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Received</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Cash</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Collateral</B></FONT><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Received</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Non-cash</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Collateral</B></FONT><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Pledged</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Cash</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Collateral</B></FONT><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Pledged</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Net Collateral</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>(Received) /</B></FONT><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Pledged<SUP>5</SUP></B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Net Exposure</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Due (to) / from</B></FONT><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Counterparty</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 16px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">BNP Paribas Securities<BR>Corp.</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(2,831,964</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(2,831,964</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><DIV STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">$2,831,964</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">$2,831,964</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><DIV STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 16px; TEXT-INDENT:
-10px"><FONT STYLE="font-size: 8pt">Credit Suisse Securities<BR>(USA) LLC</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">837,000</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(202,583,034</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(877,080</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(202,623,114</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: center"><DIV STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><DIV STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">202,623,114</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: center"><DIV STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">202,623,114</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: center"><DIV STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt"><B>Total</B><BR></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">837,000</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(205,414,998</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(877,080</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">(205,455,078</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center"><DIV STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><DIV STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">$205,455,078</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center"><DIV STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: right"><FONT STYLE="font-size: 8pt">$205,455,078</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: center"><DIV STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&#151;</FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Included in Investments at value-unaffiliated in the
Statements of Assets and Liabilities.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>4</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Includes accrued interest on borrowed bonds in the
amount of $17,393 which is included in interest expense payable in the Statements of Assets and Liabilities.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>5</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Net collateral with a value of $212,428,256 has been
pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown
for financial reporting purposes.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">In the event the counterparty of securities under an MRA files for
bankruptcy or becomes insolvent, the Trusts&#146; use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or
receiver, determines whether or not to enforce the Trusts&#146; obligation to repurchase the securities.</FONT></DIV></P>
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<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">81<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
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<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Notes to Financial Statements (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Short Sales:</B> Certain Trusts may enter into short sale
transactions in which the Trusts sell a security they do not hold in anticipation of a decline in the market price of that security. When the Trusts
make a short sale, they will borrow the security sold short (borrowed bond) and deliver the security to the counterparty to which they sold the
security short. An amount equal to the proceeds received by the Trusts is reflected as an asset and an equivalent liability. The amount of the
liability is subsequently marked-to-market to reflect the market value of the short sale. The Trusts are required to repay the counterparty interest on
the security sold short, which is shown as interest expense in the Statements of Operations. The Trusts are exposed to market risk based on the amount,
if any, that the market value of the security increases beyond the market value at which the position was sold. Thus, a short sale of a security
involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of a
theoretically unlimited loss since there is a theoretically unlimited potential for the market price of the security sold short to increase. A gain,
limited to the price at which the Trusts sold the security short, or a loss, unlimited as to the dollar amount, will be recognized upon the termination
of a short sale if the market price is either less than or greater than the proceeds originally received. There is no assurance the Trusts will be able
to close out a short position at a particular time or at an acceptable price.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>4. Derivative Financial Instruments:</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Trusts engage in various portfolio investment strategies using
derivative contracts both to increase the returns of the Trusts and/or to economically hedge their exposure to certain risks such as credit risk,
equity risk, interest rate risk and foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Financial Futures Contracts:</B> The Trusts purchase and/or
sell financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest
rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Financial futures contracts are agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a
specified price and at a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through
physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement
date.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Upon entering into a financial futures contract, the Trusts are
required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract&#146;s size and
risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Securities deposited as initial
margin are designated on the Schedules of Investments and cash deposited, if any, is recorded on the Statements of Assets and Liabilities as cash
pledged for financial futures contracts. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the
daily fluctuation in value of the contract. Such receipts or payments are known as variation margin. Variation margin is recorded by the Trusts as
unrealized appreciation or depreciation and, if applicable, as a receivable or payable for variation margin in the Statements of Assets and
Liabilities.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">When the contract is closed, the Trusts record a realized gain or
loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial
futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign
currency exchange rates and the underlying assets.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Forward Foreign Currency Exchange Contracts:</B> The Trusts
enter into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain
exposure to, or hedge exposure away from, foreign currencies (foreign currency exchange rate risk). A forward foreign currency exchange contract is an
agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Forward foreign currency exchange contracts, when
used by the Trusts, help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated. The
contract is marked-to-market daily and the change in market value is recorded by the Trusts as an unrealized gain or loss. When the contract is closed,
the Trusts record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed.
The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes
unfavorably due to movements in the value of the referenced foreign currencies.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Options:</B> The Trusts purchase and write call and put options
to increase or decrease their exposure to underlying instruments (including equity risk and interest rate risk) and/or, in the case of options written,
to generate gains from options premiums. A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and
obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a
specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at
the exercise or strike price at any time or at a specified time during the option period. When the Trusts purchase (write) an option, an amount equal
to the premium paid (received) by the Trusts is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market
to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the
related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of
the instrument sold. When an option expires (or the Trusts enter into a closing transaction), the Trusts realize a gain or loss on the option to the
extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premiums received or paid). When
the Trusts write a call option, such option is &#147;covered,&#148; meaning that the Trusts hold the underlying instrument subject to being called by
the option counterparty. When the Trusts write a put option, such option is covered by cash in an amount sufficient to cover the
obligation.</FONT></DIV></P>
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<TD STYLE="text-align: left; width: 33%">82</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV align=left>
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Notes to Financial Statements (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Options on swaps (&#147;swaptions&#148;) 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 swaptions is granting or
buying the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any
time before the expiration of the option.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Trusts also purchase or sell listed or OTC foreign currency
options, foreign currency futures and related options on foreign currency futures as a short or long hedge against possible variations in foreign
exchange rates or to gain exposure to foreign currencies (foreign currency exchange rate risk). When foreign currency is purchased or sold through an
exercise of a foreign currency option, the related premium paid (or received) is added to (or deducted from) the basis of the foreign currency acquired
or deducted from (or added to) the proceeds of the foreign currency sold (receipts from the foreign currency purchased). Such transactions may be
effected with respect to hedges on non-U.S. dollar denominated instruments owned by the Trusts but not yet delivered, or committed or anticipated to be
purchased by the Trusts.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">In purchasing and writing options, the Trusts bear the risk of an
unfavorable change in the value of the underlying instrument or the risk that the Trusts may not be able to enter into a closing transaction due to an
illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security when it otherwise would not, or at a price
different from the current market value.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="text-align: left; margin-bottom: 12pt">Transactions in options written for the year ended August 31,
2014, were as follows:</FONT></DIV></P>

<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=11 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Calls</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=11 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Puts</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Contracts</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Notional<BR>
(000)<SUP>1</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Premiums <BR>
Received</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Contracts</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Notional<BR>
(000)<SUP>1</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Premiums <BR>
Received</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>BHK<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Outstanding options, beginning of year</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">30,700</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">66,601</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">55,300</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">735,472</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Options written</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">128,200</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,952,235</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">156,800</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,167,202</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Options closed</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(101,100</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(1,063,035</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH="5%" STYLE="padding-bottom: 1pt">&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(98,500</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(1,514,853</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Outstanding options, end of year</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">57,800</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">955,801</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH="5%" STYLE="padding-bottom: 2px">&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">113,600</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,387,821</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>HYT<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
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<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Outstanding options, beginning of year</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,595</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">432,862</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Options written</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">19,250</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">814,307</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Options expired</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(9,295</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(804,727</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Options closed</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH="5%" STYLE="padding-bottom: 1pt">&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(13,550</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(442,442</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Outstanding options, end of year</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH="5%" STYLE="padding-bottom: 2px">&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px"><B>BNA<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Outstanding options, beginning of year</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">30,900</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">67,034</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">55,500</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">737,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Options written</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">128,400</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,959,254</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">156,900</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,173,955</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Options closed</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(101,500</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(1,066,688</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH="5%" STYLE="padding-bottom: 1pt">&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(98,800</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(1,519,403</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 6px; TEXT-INDENT:
-6px">Outstanding options, end of year</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">57,800</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">959,600</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH="5%" STYLE="padding-bottom: 2px">&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">113,600</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,391,552</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Amount shown is in the currency in which the
transaction was denominated.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Swaps:</B> The Trusts enter into swap agreements in which the
Trusts and a counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements
are privately negotiated in the OTC market and may be entered into as a bilateral contract (&#147;OTC swaps&#148;) or centrally cleared
(&#147;centrally cleared swaps&#148;). Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation
(depreciation).</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">For OTC swaps, any upfront premiums paid are recorded as assets
and any upfront fees received are recorded as liabilities and are shown as swap premiums paid and swap premiums received, respectively, in the
Statements of Assets and Liabilities and amortized over the term of the OTC swap. Payments received or made by the Trusts for OTC swaps are recorded in
the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, the Trusts will record a realized gain or loss
equal to the difference between the proceeds from (or cost of) the closing transaction and the Trusts&#146; basis in the contract, if any. Generally,
the basis of the contract is the premium received or paid.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">In a centrally cleared swap, immediately following execution of
the swap agreement, the swap agreement is novated to a central counterparty (the &#147;CCP&#148;) and the Trusts&#146; counterparty on the swap
agreement becomes the CCP. The Trusts are required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, the Trusts
are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk
profile of the particular swap. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited is recorded on
the Statements of Assets and Liabilities as cash pledged for centrally cleared swaps. The daily change in valuation of centrally cleared swaps is
recorded as a receivable or payable for variation margin in the Statements of Assets and Liabilities. Payments received from (paid to) the
counterparty, including at termination, are recorded as realized gain (loss) in the Statements of Operations.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Swap transactions involve, to varying degrees, elements of
interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the
possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform
or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market
values associated with these transactions.</FONT></DIV></P>
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<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">83<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV align=left>
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<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Notes to Financial Statements (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV >&#149;&nbsp;&nbsp;</DIV></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2">Credit default swaps &#151; The Trusts enter into credit default
swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign
issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The Trusts may either buy or
sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes.
Credit default swaps on single-name issuers are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration
for a guarantee from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity
(e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are
agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment
should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occur. As a buyer, if
an underlying credit event occurs, the Trusts will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver
the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the
swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs,
the Trusts will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying
securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or
underlying securities comprising the index.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV >&#149;&nbsp;&nbsp;</DIV></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2">Total return swaps &#151; The Trusts enter into total return swaps
to obtain exposure to a security or market without owning such security or investing directly in that market or to transfer the risk/return of one
market (e.g., fixed income) to another market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk). Total
return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons
plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the
instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Trusts will receive a payment
from or make a payment to the counterparty.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV >&#149;&nbsp;&nbsp;</DIV></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2">Interest rate swaps &#151; The Trusts enter into interest rate
swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of
the fixed rate bonds, which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a
stream of interest payments, either fixed or floating, for another party&#146;s stream of interest payments, either fixed or floating, on the same
notional amount for a specified period of time. Interest rate floors, which are a type of interest rate swap, are agreements in which one party agrees
to make payments to the other party to the extent that interest rates fall below a specified rate or floor in return for a premium. In more complex
swaps, the notional principal amount may decline (or amortize) over time.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" style="margin-top: 6pt">
<TR VALIGN="TOP">
     <TD WIDTH="2%" ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV >&#149;&nbsp;&nbsp;</DIV></FONT></TD>
     <TD WIDTH="3px" ALIGN="LEFT">&nbsp;</TD>
     <TD WIDTH="98%" ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2">Forward interest rate swaps &#151; The Trusts may enter into
forward interest rate swaps and forward total return swaps. In a forward swap, each Trust and the counterparty agree to make either periodic net
payments beginning on a specified future effective date or a net payment at termination, unless terminated earlier.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The following is a summary of the Trusts&#146; derivative
financial instruments categorized by risk exposure:</FONT></DIV></P>
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<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 9pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP COLSPAN="48" STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Fair Values of
     Derivative Financial Instruments as of August 31, 2014</B></FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: center"></TD>
     <TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="42" STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Value</B></FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: center"></TD>
     <TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="7" STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>BHK</B></FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="7" STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>HYT</B></FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="7" STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>BNA</B></FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP COLSPAN="7" STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>BKT</B></FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: center"><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Statements of Assets</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>and Liabilities Location</B></FONT><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Derivative</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Assets</B></FONT><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Derivative</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Liabilities</B></FONT><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
    <TD><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></TD>
    <TD><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></TD>
    <TD><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></TD>
     <TD STYLE="text-align: center"><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></TD>
     <TD NOWRAP STYLE="text-align: center"><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Derivative</B></FONT><FONT STYLE="font-size: 8pt"><BR>

     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Assets</B></FONT><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Derivative</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Liabilities</B></FONT><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Derivative</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Assets</B></FONT><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Derivative</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Liabilities</B></FONT><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Derivative</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Assets</B></FONT><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT><FONT STYLE="font-size: 8pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD NOWRAP COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif"><B>Derivative</B></FONT><FONT STYLE="font-size: 8pt"><BR>
     <FONT STYLE="font-family: Arial, Helvetica, sans-serif"><B>Liabilities</B></FONT><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left"><DIV STYLE="margin-left: 10px; text-indent: -10px"><FONT STYLE="font-size: 8pt">Interest rate contracts</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">Net unrealized appreciation/ depreciation<SUP>1</SUP>; Unrealized appreciation/depreciation
                                  on OTC swaps; Swaps premiums paid/received; Investments at value-unaffiliated<SUP>2</SUP>; Options
                                  written at value</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,463,804</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,414,537</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,495,115</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,420,200</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,045,564</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,706,141</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left"><DIV STYLE="margin-left: 10px; text-indent: -10px"><FONT STYLE="font-size: 8pt">Foreign currency<BR>exchange contracts</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><DIV STYLE="MARGIN-LEFT: px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">Unrealized appreciation/ depreciation on forward foreign currency exchange
                                  contracts</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">395,247</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,496</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,247,593</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">304,747</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">393,776</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left"><DIV STYLE="margin-left: 10px; text-indent: -10px"><FONT STYLE="font-size: 8pt">Credit contracts</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">Unrealized appreciation/ depreciation on OTC swaps; Swap premiums paid/received</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">249,510</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">260,720</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,814,373</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">368,840</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">250,887</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">261,668</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left"><DIV STYLE="margin-left: 10px; text-indent: -10px"><FONT STYLE="font-size: 8pt">Equity contracts</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">Net
                                         unrealized appreciation/ depreciation<SUP>1</SUP></FONT></DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">886,781</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt"><B>Total</B><BR></FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,108,561</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,680,753</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">10,061,966</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">1,560,368</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">2,139,778</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">3,681,868</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">5,045,564</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;$</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">7,706,141</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: left"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></DIV></FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">&nbsp;</FONT></TD>
     <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
<TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Includes cumulative appreciation/depreciation on
financial futures contracts as and centrally cleared swaps as reported in the Schedules of Investments. Only current day&#146;s variation margin is
reported within the Statements of Assets and Liabilities .</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Includes options purchased at value as reported in
the Schedules of Investments.</FONT></TD>
</TR>
</TABLE>
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<DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1px solid">
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">84</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_04-60344-notes PAGE POSITION: 12 -->
<DIV align=left>
<!-- agabop mode="main" last-style="notes_footnote" -->
<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Notes to Financial Statements (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD COLSPAN=20 WIDTH="55%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>The Effect of Derivative
Financial Instruments in the Statements of Operations<BR> Year ended August 31, 2014</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="55%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD COLSPAN=7 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Net Realized Gain (Loss) From</B></B><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD COLSPAN=7 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Net Change in Unrealized<BR>
Appreciation/Depreciation on</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="55%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BHK</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>HYT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BHK</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>HYT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Interest rate contracts:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Financial futures contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,224,968</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(910,267</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(195,226</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(4,972</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Swaps </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,450,115</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(773,713</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Options<SUP>1</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">274,352</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">437,577</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Foreign currency exchange contracts:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Foreign currency transactions/translations</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,337,997</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,730,097</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">463,069</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,340,324</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit contracts:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Swaps </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(40,008</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(7,879,332</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8,216</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,770,558</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Equity contracts:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Financial futures contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(2,309,009</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(5,959</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Options<SUP>1</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(8,681,688</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(282,619</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,328,800</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(21,510,393</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(60,077</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6,817,332</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TABLE>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD COLSPAN=20 WIDTH="55%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>The Effect of Derivative
Financial Instruments in the Statements of Operations<BR> Year ended August 31, 2014</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="55%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD COLSPAN=7 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Net Realized Gain (Loss)
From</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD COLSPAN=7 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Net Change in Unrealized<BR>
Appreciation/Depreciation on</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="55%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BNA</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BKT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BNA</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BKT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Interest rate contracts:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Financial futures contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,403,516</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(11,396,693</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(153,120</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">157,699</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Swaps </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,403,606</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">503,189</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(821,493</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(865,533</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Options<SUP>1</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">275,605</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">440,309</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Foreign currency exchange contracts:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Foreign currency transactions/translations</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,491,967</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">515,078</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit contracts:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Swaps </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(39,974</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7,973</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,256,426</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(10,893,504</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(11,253</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(707,834</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 8pt"><DIV STYLE="MARGIN-LEFT: 9px" ALIGN="LEFT"><SUP>1</SUP> Options
purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on
investments.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">For the year ended August 31, 2014, the average quarterly balances
of outstanding derivative financial instruments were as follows:</FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BHK</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>HYT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BNA</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BKT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Financial futures contracts:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average number of contracts purchased </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">492</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">28</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><SUP>2</SUP>&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">486</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">92</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average number of contracts sold</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">465</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">719</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">475</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,371</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average notional value of contracts purchased</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">78,605,312</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</SUP></FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,303,193</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><SUP>2</SUP>&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">78,460,026</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10,957,840</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average notional value of contracts sold</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">64,088,264</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">74,194,972</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">65,243,943</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">215,862,154</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Forward foreign currency exchange contracts:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average number of contracts &#151; US dollars purchased </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">18</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average number of contracts &#151; US dollars sold</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average US dollar amounts purchased</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">14,538,535</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">249,460,801</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15,234,500</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average US dollar amounts sold</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">724,647</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,418,150</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">648,999</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Options:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average number of option contracts purchased</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,054</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average number of option contracts written</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,813</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><SUP>2</SUP>&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average notional amount of option contracts purchased</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">35,787,522</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average notional amount of option contracts written</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</SUP></FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">87,723,750</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><SUP>2</SUP>&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average number of swaption contracts purchased</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average number of swaption contracts written</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">23</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">23</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average notional amount of swaption contracts purchased</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">118,800,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">119,050,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average notional amount of swaption contracts written </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">154,925,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">155,225,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit default swaps:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average number of contracts &#151; buy protection</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average number of contracts &#151; sell protection</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">39</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average notional amount &#151; buy protection</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,201,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,598,949</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,200,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average notional amount &#151; sell protection</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,991,250</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">38,477,627</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,016,250</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Interest rate swaps:<BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average number of contracts &#151; pays fixed rate</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average number of contracts &#151; receives fixed rate</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Average notional amount &#151; pays fixed rate </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">82,675,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">82,800,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">60,000,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 20px; TEXT-INDENT: -10px">Average notional amount &#151; receives fixed rate</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">14,225,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">14,250,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">71,565,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Average amounts for the period are shown due to
limited outstanding derivative financial instruments as of each quarter.</FONT></TD>
</TR>
</TABLE>
<!-- agabop mode="frill" last-style="notes_footnote" -->
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<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">85<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100% font: 10pt Times
New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_04-60344-notes PAGE POSITION: 13 -->
<DIV align=left>
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<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Notes to Financial Statements (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Counterparty Credit Risk:</B> A derivative contract may suffer
a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument.
Losses can also occur if the counterparty does not perform under the contract.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Trusts&#146; risk of loss from counterparty credit risk on OTC
derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Trust. For OTC options purchased, each
Trust bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Trust
should the counterparty fail to perform under the contracts. Options written by the Trusts do not typically give rise to counterparty credit risk, as
options written generally obligate the Trusts, and not the counterparty, to perform.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">With exchange-traded purchased options and futures and centrally
cleared swaps, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments,
guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to
failure of the clearinghouse. While offset rights may exist under applicable law, the Trusts do not have a contractual right of offset against a
clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse.
Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a
clearing broker&#146;s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a
clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing
broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker&#146;s customers, potentially
resulting in losses to the Trusts.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">In order to better define their contractual rights and to secure
rights that will help the Trusts mitigate their counterparty risk, the Trusts may enter into an International Swaps and Derivatives Association, Inc.
Master Agreement (&#147;ISDA Master Agreement&#148;) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement
between each Trust and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and
netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Trust may, under certain circumstances,
offset with the counterparty certain derivative financial instruments&#146; payables and/or receivables with collateral held and/or posted and create
one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the
bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset
in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to
maturity in the event the Trusts&#146; net assets decline by a stated percentage or the Trusts fail to meet the terms of its ISDA Master Agreements.
The result would cause the Trusts to accelerate payment of any net liability owed to the counterparty.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Collateral Requirements:</B> For derivatives traded under an
ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such
agreement and comparing that amount to the value of any collateral currently pledged by the Trusts and the counterparty.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Cash collateral that has been pledged to cover obligations of the
Trusts and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged
as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Trusts, if any, is noted in the Schedules of
Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $500,000) before a
transfer is required, which is determined at the close of business of the Trusts. Any additional required collateral is delivered to/pledged by the
Trusts on the next business day. Typically, the Trusts and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To
the extent amounts due to the Trusts from their counterparties are not fully collateralized, the Trusts bear the risk of loss from counterparty
non-performance. Likewise, to the extent the Trusts have delivered collateral to a counterparty and stands ready to perform under the terms of its
agreement with such counterparty, the Trusts bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the
counterparty fails to return such collateral.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">For financial reporting purposes, the Trusts do not offset
derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and
Liabilities.</FONT></DIV></P>
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<TD STYLE="text-align: left; width: 33%">86</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
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<TD width="36%"></TD></TR>
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Notes to Financial Statements (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">As of August 31, 2014, the Trusts&#146; derivative assets and
liabilities (by type) are as follows:</FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="55%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD COLSPAN=7 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BHK</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD COLSPAN=7 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>HYT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="55%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Assets</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Liabilities</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Assets</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Liabilities</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Derivative Financial Instruments:</B><BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Financial futures contracts</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">20,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 40,558</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 155,496</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Forward foreign currency exchange contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">395,247</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,496</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7,247,593</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">304,747</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Options<SUP>1</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">954,199</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,580,908</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Swaps &#151; Centrally cleared</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,203</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Swaps &#151; OTC<SUP>2</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">249,510</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">260,720</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">2,814,373</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">368,840</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Total derivative assets and liabilities in the Statements of Assets and Liabilities </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1,618,956</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">2,890,885</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">10,061,966</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">829,083</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Derivatives not subject to a master netting agreement or similar agreement (&#147;MNA&#148;)</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(20,000</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(43,761</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(155,496</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Total derivative assets and liabilities subject to an MNA</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1,598,956</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">2,847,124</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">10,061,966</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">673,587</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TABLE>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="55%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD COLSPAN=7 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BNA</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD COLSPAN=7 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BKT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="55%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Assets</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Liabilities</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Assets</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Liabilities</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Derivative Financial Instruments:</B><BR></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Financial futures contracts</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">18,125</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 51,432</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 156,594</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13,606</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Forward foreign currency exchange contracts </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">393,776</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Options<SUP>1</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">954,199</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,588,336</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Swaps &#151; Centrally cleared</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,758</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">20</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Swaps &#151; OTC<SUP>2</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">250,887</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">261,668</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">5,032,194</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">6,832,450</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Total derivative assets and liabilities in the Statements of Assets and Liabilities </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">
1,616,987</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">
2,903,194</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">
5,188,808</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">
6,846,056</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Derivatives not subject to an MNA </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(18,125</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(53,190</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(156,614</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(13,606</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Total derivative assets and liabilities subject to an MNA</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">
1,598,862</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">
2,850,004</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">5,032,194</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">
6,832,450</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="55%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right">
<SUP>1</SUP>
</TD>
	<TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Includes options purchased at value which is included in
Investments at value &#151; unaffiliated in the Statements of Assets and Liabilities and reported in the Schedules of Investments.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right">
<SUP>2</SUP>
</TD>
	<TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Includes unrealized appreciation/depreciation on OTC swaps and
swap premiums paid/received in the Statements of Assets and Liabilities.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The following tables present the Trusts&#146; derivative assets
and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Trusts
as of August 31, 2014:</FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="42.5%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BHK<BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="42.5%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Counterparty<BR></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Derivative Assets<BR> Subject to an
MNA<BR> by Counterparty</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Derivatives<BR> Available<BR>for
Offset<SUP>3</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Non-cash<BR> Collateral<BR>
Received</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Cash<BR> Collateral<BR>
Received</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Net Amount<BR> of Derivative<BR>
Assets<SUP>4</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Bank of America N.A. &nbsp;</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">324,992</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(6,993</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">317,999</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Bank PLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">205,406</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(205,406</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Citibank N.A.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">43,407</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(43,407</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse International</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">30,432</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(30,432</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank AG</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">700,325</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(700,325</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Goldman Sachs Bank USA</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">24,822</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(24,822</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">JPMorgan Chase Bank N.A. </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">211,943</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(211,943</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Morgan Stanley Capital Services LLC </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">57,629</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(38,721</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">18,908</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,598,956</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,262,049</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">336,907</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TABLE>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="42.5%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BHK<BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="42.5%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Counterparty<BR></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Derivative Liabilities<BR> Subject to
an MNA<BR> by Counterparty</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Derivatives<BR> Available<BR>for
Offset<SUP>3</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Non-cash<BR> Collateral<BR>
Pledged</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Cash<BR> Collateral<BR>
Pledged<SUP>5</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Net Amount<BR> of Derivative<BR>
Liabilities<SUP>6</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Bank of America N.A.&nbsp;</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6,993</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(6,993</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Bank PLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">681,786</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(205,406</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(476,380</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BNP Paribas S.A.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">35,272</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">35,272</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Citibank N.A.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">181,780</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(43,407</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">138,373</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse International</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">125,015</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(30,432</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">94,583</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank AG</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">963,524</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(700,325</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">263,199</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Goldman Sachs Bank USA</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">34,133</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(24,822</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9,311</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">JPMorgan Chase Bank N.A. </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">779,900</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(211,943</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(567,957</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Morgan Stanley Capital Services LLC </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">38,721</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(38,721</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,847,124</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,262,049</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,044,337</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">540,738</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">The amount of derivatives available for offset is
limited to the amount of derivative assets and/or liabilities that are subject to an MNA.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>4</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Net amount represents the net amount receivable from
the counterparty in the event of default.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>5</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Excess of collateral pledged to the individual
counterparty is not shown for financial reporting purposes.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>6</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Net amount represents the net amount payable due to
the counterparty in the event of default.</FONT></TD>
</TR>
</TABLE>
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<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">87<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV align=left>
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<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Notes to Financial Statements (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 9pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>HYT<BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Counterparty<BR></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Derivative Assets<BR> Subject to an
MNA<BR> by Counterparty</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Derivatives<BR> Available<BR>for
Offset<SUP>1</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Non-cash<BR> Collateral<BR>
Received</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Cash<BR> Collateral<BR>
Received<SUP>2</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Net Amount<BR> of Derivative<BR>
Assets<SUP>3</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Bank of America N.A.</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,157,816</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,157,816</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Citibank N.A.</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,054,775</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(5,701</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,049,074</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank AG</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,627,373</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(857</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (1,626,516</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Goldman Sachs International</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">982,109</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(368,840</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(613,269</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">UBS AG</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">239,893</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(22,921</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">216,972</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10,061,966</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(398,319</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (2,239,785</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 7,423,862</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TABLE>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 9pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>HYT<BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Counterparty<BR></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Derivative Liabilities<BR> Subject to
an MNA<BR> by Counterparty</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Derivatives<BR> Available<BR>for
Offset<SUP>1</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Non-cash<BR> Collateral<BR>
Pledged</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Cash<BR> Collateral<BR>
Pledged</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Net Amount<BR> of Derivative<BR>
Liabilities<SUP>4</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Citibank N.A.</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 5,701</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (5,701</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank AG</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">857</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(857</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Goldman Sachs Bank USA</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">52,521</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 52,521</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Goldman Sachs International</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">368,840</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(368,840</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">JPMorgan Chase Bank N.A. </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">20,167</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">20,167</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Royal Bank of Scotland PLC</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,728</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,728</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">State Street Bank and Trust Co.</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">51,485</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">51,485</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">The Bank of New York Mellon</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7,813</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">7,813</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Toronto &#151; Dominion Bank</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">141,554</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">141,554</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">UBS AG</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">22,921</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(22,921</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">673,587</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (398,319</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 275,268</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TABLE>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="42.5%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BNA<BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="42.5%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Counterparty<BR></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Derivative Assets<BR> Subject to an
MNA<BR> by Counterparty</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Derivatives<BR> Available<BR>for
Offset<SUP>1</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Non-cash<BR> Collateral<BR>
Received</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Cash<BR> Collateral<BR>
Received</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Net Amount<BR> of Derivative<BR>
Assets<SUP>3</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Bank of America N.A.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">323,713</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (1,497</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="text-align: center">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">322,216</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Bank PLC</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">205,406</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(205,406</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="text-align: center">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Citibank N.A.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">43,769</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(43,769</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="text-align: center">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse International</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">30,970</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(30,970</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="text-align: center">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank AG</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">700,306</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(700,306</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="text-align: center">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Goldman Sachs Bank USA</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">24,822</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(24,822</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="text-align: center">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">JPMorgan Chase Bank N.A. </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">211,751</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(211,751</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="text-align: center">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Morgan Stanley Capital Services LLC </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">58,125</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(39,060</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: windowtext 1pt solid; text-align: center">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">19,065</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,598,862</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (1,257,581</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 2px solid; text-align: center">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 341,281</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TABLE>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 9pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BNA<BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Counterparty<BR></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Derivative Liabilities<BR> Subject to
an MNA<BR> by Counterparty</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Derivatives<BR> Available<BR>for
Offset<SUP>1</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Non-cash<BR> Collateral<BR>
Pledged</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Cash<BR> Collateral<BR>
Pledged<SUP>5</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Net Amount<BR> of Derivative<BR>
Liabilities<SUP>4</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Bank of America N.A.</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,497</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (1,497</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Barclays Bank PLC</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">688,060</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(205,406</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(20,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">462,654</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BNP Paribas S.A.</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">35,272</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">35,272</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Citibank N.A.</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">182,057</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(43,769</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">138,288</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Credit Suisse International</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">125,392</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(30,970</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">94,422</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank AG</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">958,401</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(700,306</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">258,095</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Goldman Sachs Bank USA</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">34,133</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(24,822</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9,311</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">JPMorgan Chase Bank N.A. </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">786,132</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(211,751</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(570,000</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,381</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Morgan Stanley Capital Services LLC </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">39,060</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(39,060</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,850,004</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (1,257,581</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (590,000</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,002,423</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 9px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">The amount of derivatives available for offset is
limited to the amount of derivative assets and/or liabilities that are subject to an MNA.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Excess of collateral received from the individual
counterparty is not shown for financial reporting purposes.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Net amount represents the net amount receivable from
the counterparty in the event of default.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>4</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Net amount represents the net amount payable due to
the counterparty in the event of default.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>5</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Excess of collateral pledged to the individual
counterparty is not shown for financial reporting purposes.</FONT></TD>
</TR>
</TABLE>
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<TD STYLE="text-align: left; width: 33%">88</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV align=left>
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<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Notes to Financial Statements (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="42.5%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BKT<BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="42.5%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Counterparty<BR></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Derivative Assets<BR> Subject to an
MNA<BR> by Counterparty</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Derivatives<BR> Available<BR>for
Offset<SUP>1</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Non-cash<BR> Collateral<BR>
Received<SUP>2</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Cash<BR> Collateral<BR>
Received<SUP>2</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Net Amount<BR> of Derivative<BR>
Assets</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Citibank N.A.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 661,695</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(661,695</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Goldman Sachs Bank USA</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">335,111</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(335,111</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">JPMorgan Chase Bank N.A. </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,409,054</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(183,998</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(3,225,056</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">UBS AG</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">626,334</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">
(626,334</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 5,032,194</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (183,998</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(626,334</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (4,221,862</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TABLE>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="42.5%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BKT<BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="42.5%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Counterparty<BR></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Derivative Liabilities<BR> Subject to
an MNA<BR> by Counterparty</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Derivatives<BR> Available<BR>for
Offset<SUP>1</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Non-cash<BR> Collateral<BR>
Pledged</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Cash<BR> Collateral<BR>
Pledged<SUP>3</SUP></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Net Amount<BR> of Derivative<BR>
Liabilities</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Deutsche Bank AG</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6,648,452</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(6,648,452</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">JPMorgan Chase Bank N.A. </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">183,998</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(183,998</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="42.5%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> 6,832,450</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (183,998</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"> (6,648,452</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 2px solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="MARGIN-LEFT: 9px" ALIGN="LEFT"></FONT></DIV></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">The amount of derivatives available for offset is
limited to the amount of derivative assets and/or liabilities that are subject to an MNA.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Excess of collateral received from the individual
counterparty is not shown for financial reporting purposes.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>3</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Excess of collateral pledged to the individual
counterparty is not shown for financial reporting purposes.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>5. Investment Advisory Agreement and Other Transactions with
Affiliates:</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The PNC Financial Services Group, Inc. is the largest stockholder
and an affiliate, for 1940 Act purposes, BlackRock, Inc. (&#147;BlackRock&#148;).</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Each Trust entered into an Investment Advisory Agreement with the
Manager, the Trusts&#146; investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory services for each Trust
and administration services for BHK and HYT.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The following Trust&#146;s investment advisory fee paid to the
Manager is computed weekly and payable monthly based on an annual rate of it&#146;s average total assets (including any assets attributable to
borrowings) minus the sum of total liabilities (other than debt representing financial leverage):</FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD ALIGN="CENTER" WIDTH="100%" STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BHK </DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">0.55%</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The following Trust&#146;s investment advisory fee paid to the
Manager is computed daily and payable monthly based on an annual rate of it&#146;s average total assets (including any assets attributable to
borrowings) minus the sum of total liabilities (other than debt representing financial leverage):</FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD ALIGN="CENTER" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: left">HYT </DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">0.60%</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Prior to November 18, 2013, HYT paid the Manager an investment
advisory fee computed and paid monthly based on an annual rate of 0.70%.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The following Trusts&#146; investment advisory fee paid to the
Manager is computed weekly and payable monthly based on an annual rate of each Trust&#146;s average net assets:</FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD ALIGN="CENTER" WIDTH="100%" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BNA </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">0.60%</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="CENTER" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: left">BKT</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">0.65%</DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">BNA and BKT each have an Administration Agreement with the
Manager. The administration fee paid to the Manager is computed weekly and payable monthly based on an annual rate, 0.10% for BNA, and 0.15% for BKT,
of each Trust&#146;s average net assets.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Manager voluntarily agreed to waive a portion of investment
advisory fee with respect to BHK at an annual rate of 0.03%, as a percentage of average weekly net assets. This voluntary waiver may be reduced or
discontinued at any time without notice. For the year ended August 31, 2014, the Manager waived $169,106, which is included in fees waived by Manager
in the Statements of Operations for BHK.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Manager voluntarily agreed to waive its investment advisory
fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds.
However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Trust&#146;s
investment in other affiliated investment companies, if any. These amounts are included in fees waived by Manager in the Statements of Operations. For
the year ended August 31, 2014, the amounts waived were as follows:</FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD ALIGN="CENTER" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: left">BHK </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">$3,706</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="CENTER" WIDTH="100%" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">HYT</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">$1,724</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="CENTER" WIDTH="100%" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BNA </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">$3,720</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="CENTER" WIDTH="100%" STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BKT</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">$7,128</DIV></FONT></TD>
</TABLE>
<!-- agabop mode="frill" last-style="h2" -->
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<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">89<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
<!-- BEGIN DIVISION: DIV_04-60344-notes PAGE POSITION: 17 -->
<DIV align=left>
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<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Notes to Financial Statements (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Manager provides investment management and other services to
the Taxable Subsidiaries. The Manager does not receive separate compensation from the Taxable Subsidiaries for providing investment management or
administrative services. However, HYT pays the Manager based on the HYT&#146;s net assets, which includes the assets of the Taxable
Subsidiaries.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Prior to July 1, 2014, BlackRock Financial Management, Inc. (&#147;BFM&#148;), an affiliate of the Manager,
                                                                   served as a sub-advisor to each Trust pursuant to sub-advisory agreements with the Manager, and received for its services a
                                                                   monthly fee from the Manager at an annual rate equal to a percentage of the investment advisory fees paid by each Trust
                                                                   to the Manager under the Investment Advisory Agreements. Effective July 1, 2014, the sub-advisory agreements between the
                                                                   Manager and BFM, with respect to each Trust, expired.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Certain officers and/or Trustees of the Trusts are officers and/or
directors of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts&#146; Chief Compliance
Officer, which is included in Officer and Trustees in the Statements of Operations.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Trusts may purchase securities from, or sell securities to, an
affiliated fund provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees. For the year ended
August 31, 2014, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as
follows:</FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="85%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" WIDTH="10.5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>HYT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" WIDTH="12.5%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BNA</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="85%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Sales </DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="10.5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">608,065</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" WIDTH="12.5%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">15,881</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>6. Purchases and Sales:</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Purchases and sales of investments including paydowns, mortgage
dollar roll and TBA transactions and excluding short-term securities for the year ended August 31, 2014 were as follows:</FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD COLSPAN=20 WIDTH="100%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Purchases<BR></B></B><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BHK</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>HYT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BNA</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BKT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Non-U.S. Government Securities</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">462,182,025</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,253,498,361</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">453,201,516</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,712,583,875</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">U.S. Government Securities</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">18,677,813</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">19,816,559</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">63,320,043</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Total Purchases</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">480,859,838</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1,253,498,361</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">473,018,075</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1,775,903,918</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TABLE>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD COLSPAN=20 WIDTH="100%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Sales<BR></B></B><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="LEFT" ></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BHK</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>HYT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BNA</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BKT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Non-U.S. Government Securities (includes paydowns)</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">455,346,251</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,260,736,919</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">444,466,865</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,675,437,631</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">U.S. Government Securities</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">10,737,091</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">9,506,669</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">66,814,601</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 20px; TEXT-INDENT:
-10px">Total Sales</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">466,083,342</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1,260,736,919</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">453,973,534</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1,742,252,232</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Purchases and sales related to mortgage dollar rolls for the year
ended August 31, 2014 were as follows:</FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BHK</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HYT&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BNA</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BKT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Purchases</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">190,983,903</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">191,002,019</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">887,952,427</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Sales</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">191,490,455</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">191,508,600</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">888,423,017</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>7. Income Tax Information:</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">It is each Trust&#146;s policy to comply with the requirements of
the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of their taxable
income to their shareholders. Therefore, no federal income tax provision is required.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Each Trust files U.S. federal and various state and local tax
returns. No income tax returns are currently under examination. The statute of limitations on the Trusts&#146; U.S. federal tax returns remains open
for each of the four years ended August 31, 2014. The statutes of limitations on each Trust&#146;s state and local tax returns may remain open for an
additional year depending upon the jurisdiction.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Management has analyzed tax laws and regulations and their
application to the Trusts&#146; facts and circumstances and does not believe that there are any uncertain tax positions that require recognition of a
tax liability.</FONT></DIV></P>
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<TR>
<TD STYLE="text-align: left; width: 33%">90</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV align=left>
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<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
<TR>
<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Notes to Financial Statements (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">U.S. GAAP requires that certain components of net assets be
adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values
per share. As of August 31, 2014 the following permanent differences attributable to the accounting for swap agreements, amortization methods on fixed
income securities, the classification of settlement proceeds, foreign currency transactions, non-deductible expenses, limitations on the utilization of
capital loss carryforwards, income recognized from investments in partnerships, net paydowns losses and dividends recognized for tax purposes were
reclassified to the following accounts:</FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 9pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BHK</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>HYT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BNA</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BKT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 37%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Paid-in capital </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(226,142</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(27,300,771</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(77,383</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(267,805</FONT></TD>
     <TD NOWRAP STYLE="width: 2%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Undistributed net investment income </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,123,191</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(362,339</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(1,171,206</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,876,821</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Undistributed net realized loss</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1,349,333</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">27,663,110</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">1,248,589</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(3,609,016</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The tax character of distributions paid was as
follows:</FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 9pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B></B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BHK</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>HYT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BNA</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BKT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Ordinary income </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; width: 6%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8/31/14</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">24,499,913</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">101,824,719</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">24,601,850</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">27,623,179</FONT></TD>
     <TD NOWRAP STYLE="width: 2%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8/31/13</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">25,416,860</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">39,195,248</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">23,740,439</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">30,628,476</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8/31/14</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">24,499,913</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">101,824,719</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">24,601,850</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">27,623,179</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8/31/13</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">25,416,860</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">39,195,248</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">23,740,439</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">30,628,476</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">As of August 31, 2014, the tax components of accumulated net
earnings (losses) were as follows:</FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 9pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BHK</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>HYT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BNA</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BKT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 37%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Undistributed ordinary income</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,384,596</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">14,048,854</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,388,834</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">9,391,147</FONT></TD>
     <TD NOWRAP STYLE="width: 2%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Capital loss carryforwards</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(5,935,470</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(160,563,172</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(13,935,671</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(15,439,200</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Net
unrealized gains<SUP>1</SUP></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">35,894,670</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">63,429,489</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">35,580,135</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3,128,666</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Qualified late-year loss<SUP>2</SUP></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(10,422,543</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">33,343,796</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(83,084,829</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">25,033,298</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">(13,341,930</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">The differences between book-basis and tax-basis net
unrealized gains were attributable primarily to the tax deferral of losses on wash sales, amortization methods for premiums and discounts on fixed
income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gains/losses on certain futures and
foreign currency contracts, the accounting for swap agreements, the realization for tax of unrealized gains investments in passive foreign investment
companies, the investment in a wholly owned subsidiary, dividends recognized for tax purposes, the classification of investments and the deferral of
compensation to trustees.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right"><SUP>2</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">The Trust has elected to defer certain qualified
late year losses and recognize such losses in the next taxable year.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">As of August 31, 2014, the Trusts had capital loss carryforwards
available to offset future realized capital gains through the indicated expiration dates as follows:</FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 9pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Expires July 31,<BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BHK</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>HYT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BNA</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BKT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 37%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">2015 </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,594,580</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="width: 2%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="margin-left: 0px; text-indent: 0px">2016 </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,056,597</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="margin-left: 0px; text-indent: 0px">2017 </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,935,470</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">95,246,388</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,971,033</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="margin-left: 0px; text-indent: 0px">2018 </DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">55,665,607</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">10,964,638</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">No
expiration date<SUP>3</SUP></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">15,439,200</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Total<BR></B></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5,935,470</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">160,563,172</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">13,935,671</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">15,439,200</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD>
<TD>&nbsp;</TD></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right">
<SUP>3</SUP>
</TD>
	<TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Must be utilized prior to losses subject to
expiration.</FONT></TD>
</TR>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">During the year ended August 31, 2014, the Trusts listed below
utilized the following amounts of their respective capital loss carryforwards:</FONT></DIV></P>
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="33%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BHK</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" WIDTH="34%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>HYT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" WIDTH="33%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BNA</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="CENTER" WIDTH="33%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">$4,422,075</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="34%" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">$45,974,238</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="33%" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">$4,589,943</DIV></FONT></TD>
</TR></TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">As of August 31, 2014, gross unrealized appreciation and
depreciation based on cost for federal income tax purposes were as follows:</FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 9pt">
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BHK</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>HYT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BNA</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>BKT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="19" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">&nbsp;</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 37%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Tax
cost</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">561,453,510</FONT></TD>
     <TD NOWRAP STYLE="width: 1%; text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">2,328,993,637</FONT></TD>
     <TD NOWRAP STYLE="width: 1%; text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">563,020,008</FONT></TD>
     <TD NOWRAP STYLE="width: 1%; text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 1%; text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid; width: 8%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">756,270,127</FONT></TD>
     <TD NOWRAP STYLE="width: 2%; text-align: left; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Gross unrealized appreciation</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">40,700,073</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">119,249,661</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">41,570,516</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">29,865,577</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Gross unrealized depreciation</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(4,963,357</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(60,657,357</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(6,066,398</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: windowtext 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">(24,891,205</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">)&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Net
unrealized appreciation</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">35,736,716</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">58,592,304</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">35,504,118</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2px solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,974,372</FONT></TD>
     <TD NOWRAP STYLE="border-bottom: Black 2px solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TABLE>
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<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">91<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV align=left>
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<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
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<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Notes to Financial Statements (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>8. Borrowings:</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">HYT is party to a senior committed secured, 360-day rolling line
of credit facility and a separate security agreement (the &#147;SSB Agreement&#148;) with State Street Bank and Trust Company (&#147;SSB&#148;). SSB
may elect to terminate its commitment upon 360-days written notice to HYT. HYT has granted a security interest in substantially all of its assets to
SSB.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The SSB Agreement allows for a maximum commitment amount of
$798,000,000 for HYT.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Advances will be made by SSB to HYT, at the HYT&#146;s option of
(a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day
LIBOR.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">In addition, HYT pays a facility fee and utilization fee (based on
the daily unused portion of the commitments). The commitment fees are waived if HYT meets certain conditions. The fees associated with the agreement,
if any, is included in the Statements of Operations as borrowing costs. Advances to HYT as of August 31, 2014 are shown in the Statements of Assets and
Liabilities as bank borrowings payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the
carrying amount of the borrowings approximates fair value.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">HYT may not declare dividends or make other distributions on
shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding
short-term borrowings is less than 300%.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">For the year ended August 31, 2014, the daily weighted average
interest rates for HYT with loans under the revolving credit agreements was 0.91%.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>9. Concentration, Market and Credit Risk:</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">In the normal course of business, the Trusts invest in securities
and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its
obligations (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly
involving the issuers whose securities are owned by the Trusts; conditions affecting the general economy; overall market changes; local, regional or
global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Trusts may
be exposed to counterparty credit risk, or the risk that an entity with which the Trusts have unsettled or open transactions may fail to or be unable
to perform on its commitments. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that they believe have
the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which
potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from
counterparties. The extent of the Trusts&#146; exposure to market, issuer and counterparty credit risks with respect to these financial assets is
generally approximated by their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Trusts invest a significant portion of its assets in
fixed-income securities and/or uses derivatives tied to the fixed-income markets. See the Schedules of Investments for these securities and/or
derivatives. Changes in market interest rates or economic conditions, including the Federal Reserve&#146;s decision in December 2013 to taper its
quantitative easing policy, may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other
fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Fund may be subject to a greater risk of rising
interest rates due to the current period of historically low rates.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Certain Trusts invest a significant portion of their assets in
securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Please see the
Schedules of Investments for these securities. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these
securities, can affect the value, income and/or liquidity of such positions.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>10. Capital Share Transactions:</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">BHK is authorized to issue an unlimited number of shares, par
value $0.001, all of which were initially classified as Common Shares. BNA and BKT are authorized to issue 200 million shares, par value $0.01, all of
which were initially classified as Common Shares. HYT is authorized to issue 200 million shares, par value $0.10, all of which were initially
classified as Common Shares. The Board is authorized, however, to reclassify any unissued shares without approval of Common
Shareholders.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">For the years shown, shares issued and outstanding increased by
the following amounts as a result of dividend reinvestment:</FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="LEFT" ><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Year Ended August 31,<BR></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BHK</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>HYT</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="margin-left: 10px; text-indent: -10px">2014</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">2013</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">14,416</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">39,051</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Shares issued and outstanding increased 91,181,428 due to the
reorganization during the year ended August 31, 2014 for HYT.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Shares issued and outstanding remained constant during the year
ended August 31, 2014 and the year ended August 31, 2013 for BNA and BKT.</FONT></DIV></P>
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<TD STYLE="text-align: left; width: 33%">92</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
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<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Notes to Financial Statements (concluded)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">During the current reporting period, HYT filed an initial
registration statement with the U.S. Securities and Exchange Commission (&#147;SEC&#148;) allowing it to issue additional Common Shares through an
equity shelf program (a &#147;Shelf Offering&#148;), which is not yet effective. HYT may not sell any Common Shares in the Shelf Offering until the
registration statement filed with the SEC is effective. Under the Shelf Offering, HYT, subject to market conditions, may raise additional equity
capital from time to time in varying amounts and utilizing various offering methods at a net price at or above HYT&#146;s net asset value
(&#147;NAV&#148;) per Common Share (calculated within 48 hours of pricing). Please see Additional Information &#151; Shelf Offering Program for
additional information about the Shelf Offering.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Costs incurred by HYT in connection with the Shelf Offering are
recorded as a deferred charge and amortized over 12 months.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>11. Subsequent Events:</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Management has evaluated the impact of all subsequent events on
the Trusts&#146; through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or
additional disclosure in the financial statements.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Trusts paid a net investment income dividend on September 30,
2014 to shareholders of record on September 15, 2014 as follows:</FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" NOWRAP ALIGN="CENTER" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Common Dividend<BR> Per
Share</B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="CENTER" WIDTH="100%" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: left">BHK </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">$0.0755</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="CENTER" WIDTH="100%" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: left">HYT</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">$0.0755</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="CENTER" WIDTH="100%" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: left">BNA </DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">$0.0595</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="CENTER" WIDTH="100%" STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: left">BKT</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">$0.0350</DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Additionally, the Trusts declared a net investment income dividend
on October 1, 2014 payable to shareholders of record on October 15, 2014 for the same amounts noted above.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">At a special meeting of shareholders on September 30, 2014, the
shareholders of the BHK and BNA approved its respective reorganization. On October 16, 2014, the Manager announced special distributions in connection
with the reorganization. BHK and BNA will pay an income distribution on October 31, 2014 to shareholders of record as of October 27, 2014 as
follows:</FONT></DIV></P>
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<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" NOWRAP ALIGN="CENTER" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Distribution<BR> Per Share</B></B><HR
SIZE=1 NOSHADE COLOR="#000000" ALIGN="CENTER"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="CENTER" WIDTH="100%" STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: left">BHK</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">$0.1700</DIV></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="CENTER" WIDTH="100%" STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; text-align: left">BNA</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">$0.1650</DIV></FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">At a special meeting of shareholders on September 30, 2014, the
reorganization of BKT with and into BHK was not approved by BKT shareholders. Consequently, the reorganization of BKT with and into BHK will not be
completed.</FONT></DIV></P>
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<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">93<BR></TD></TR></TABLE></DIV>
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100%">&nbsp;</TD></TR></TABLE></DIV>
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50%">&nbsp;</TD></TR></TABLE></DIV>

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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray><A NAME="a_012"></A>Report of Independent Registered Public Accounting Firm</FONT><FONT
color=gray STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>To the Shareholders and Board of Trustees/Directors of
BlackRock Core Bond Trust,<BR> BlackRock Corporate High Yield Fund, Inc. (formerly known as BlackRock Corporate High Yield Fund VI, Inc.),<BR>
BlackRock Income Opportunity Trust, Inc., BlackRock Income Trust, Inc.:</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">We have audited the accompanying statements of assets and
liabilities, including the schedules of investments, of BlackRock Core Bond Trust, BlackRock Income Opportunity Trust, Inc., and BlackRock Income
Trust, Inc. (collectively the &#147;Funds&#148;) as of August 31, 2014, and the related statements of operations and cash flows for the year then
ended, and the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the
years in the five-year period then ended. We have also audited the consolidated statement of assets and liabilities, including the consolidated
schedule of investments of BlackRock Corporate High Yield Fund, Inc., (collectively with the Funds mentioned above, the &#147;Trusts&#148;) as of
August 31, 2014, and the related consolidated statements of operations and cash flows for the year then ended, the consolidated statements of changes
in net assets for each of the two years in the period then ended, and the consolidated financial highlights for each of the years in the five-year
period then ended. These financial statements and financial highlights are the responsibility of the Trusts&#146; management. Our responsibility is to
express an opinion on these financial statements and financial highlights based on our audits.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">We conducted our audits in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance
about whether the financial statements and financial highlights are free of material misstatement. The Trusts are not required to have, nor were we
engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial
reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Trusts&#146; internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining,
on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities
owned as of August 31, 2014, by correspondence with the custodian, brokers, and agent banks; where replies were not received from brokers or agent
banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">In our opinion, the financial statements and financial highlights
referred to above present fairly, in all material respects, the financial positions of BlackRock Core Bond Trust, BlackRock Income Opportunity Trust,
Inc., and BlackRock Income Trust, Inc., the results of their operations and their cash flows for the year then ended, the changes in their net assets
for each of the two years in the period then ended, and their financial highlights for each the years in the five-year period then ended, and the
consolidated financial position of BlackRock Corporate High Yield Fund, Inc., as of August 31, 2014, the consolidated results of its operations and its
cash flows for the year then ended, the consolidated changes in its net assets for each of the two years in the period then ended, and its consolidated
financial highlights for each of the years in the five-year period then ended, in conformity with accounting principles generally accepted in the
United States of America.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">As discussed in Note 1 to the financial statements, on June 6,
2014, the Board of BlackRock Core Bond Trust and the Boards of BlackRock Income Opportunity Trust, Inc., and BlackRock Income Trust, Inc. (each
individually, a &#147;Target Fund&#148;) approved the reorganizations of each Target Fund into BlackRock Core Bond Trust (&#147;the Surviving
Fund&#148;). As discussed in Note 11, on September 30, 2014, the shareholders of BlackRock Core Bond Trust and BlackRock Income Opportunities Trust,
Inc., approved their respective reorganization.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Deloitte &amp; Touche LLP<BR> Boston, Massachusetts<BR> October
24, 2014</FONT></DIV></P>
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<TR>
<TD STYLE="text-align: left; width: 33%">94</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV align=left>
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<TD width="63%"></TD>
<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray><A NAME="a_013"></A>Important Tax Information (Unaudited)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV STYLE="text-align: left; margin-bottom: 12pt">The following information is provided with respect to the ordinary
income distributions paid by the Trusts during the fiscal year ended August 31, 2014.</FONT></DIV></P>

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<TR VALIGN="BOTTOM">
     <TD COLSPAN=24 WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" WIDTH="35%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Payable Dates</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BHK</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>HYT</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BNA</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>BKT</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 8px; TEXT-INDENT:
-6px">Interest-Related Dividends for Non-US Residents<SUP>1</SUP></DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="35%" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">September 2013 &#150; January 2014</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">85.83</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">75.19</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">84.00</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">91.80</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
</TR>
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     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 8px; TEXT-INDENT: -6px">&nbsp;</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="35%" COLSPAN="3" style='border-bottom: solid windowtext 1pt' nowrap><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">February 2014 &#150; August 2014</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">78.02</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">72.93</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">80.05</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">96.26</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">%&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 8px; TEXT-INDENT:
-6px">Qualified Dividend Income for Individuals</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="35%" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">September 2013 &#150; January 2014</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1.19</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 8px; TEXT-INDENT: -6px">&nbsp;</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="35%" COLSPAN="3" style='border-bottom: solid windowtext 1pt' nowrap><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">February 2014 &#150; August 2014</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8.07</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5.60</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">8.98</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 8px; TEXT-INDENT:
-6px">Dividends Qualifying for the Dividend Received Deduction for Corporations</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="35%" COLSPAN="3" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px">September 2013 &#150; January 2014</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0.99</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 8px; TEXT-INDENT: -6px">&nbsp;</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="35%" COLSPAN="3" style='border-bottom: solid windowtext 1pt' nowrap><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">February 2014 &#150; August 2014</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3.58</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">3.23</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.51</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 8px; TEXT-INDENT: -6px">Federal Obligation Interest<SUP>2</SUP> </DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="CENTER" WIDTH="35%" COLSPAN="3" style='border-bottom: solid windowtext 1pt' nowrap><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">September 2013 &#150; August 2014</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">6.02</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">5.53</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">%&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&#151;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right">
<SUP>1</SUP>
</TD>
	<TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Represents the portion of the taxable ordinary income dividends
eligible for exemption from US withholding tax for nonresident aliens and foreign corporations.</FONT></TD>
</TR>
</TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 6pt; margin-bottom: 0; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: top">
	<TD STYLE="width: 17pt; text-align: right">
<SUP>2</SUP>
</TD>
	<TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">The law varies in each state as to whether and what percentage of
dividend income attributable to federal obligations is exempt from state income tax. We recommend that you consult your tax advisor to determine if any
portion of the dividends you received is exempt from state income taxes.</FONT></TD>
</TR>
</TABLE>
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<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">95<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
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<TD width="36%"></TD></TR>
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray><A NAME="a_014"></A>Disclosure of Investment Advisory Agreements</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Board of Directors or Trustees, as applicable (each, a
&#147;Board,&#148; collectively, the &#147;Boards,&#148; and the members of which are referred to as &#147;Board Members&#148;) of BlackRock Core Bond
Trust (&#147;BHK&#148;), BlackRock Corporate High Yield Fund, Inc. (&#147;HYT&#148;), BlackRock Income Opportunity Trust, Inc. (&#147;BNA&#148;) and
BlackRock Income Trust, Inc. (&#147;BKT&#148; and together with BHK, HYT and BNA, each a &#147;Fund,&#148; and, collectively, the &#147;Funds&#148;)
met in person on May 9, 2014 (the &#147;May Meeting&#148;) and June 5-6, 2014 (the &#147;June Meeting&#148;) to consider the approval of each
Fund&#146;s investment advisory agreement (each, an &#147;Advisory Agreement,&#148; and, collectively, the &#147;Advisory Agreements&#148;) with
BlackRock Advisors, LLC (the &#147;Manager&#148;), each Fund&#146;s investment advisor. At the June Meeting, it was noted that the sub-advisory
agreement among the Manager, BlackRock Financial Management, Inc. and each Fund would expire effective July 1, 2014. It was also noted that the
non-renewal of each Fund&#146;s sub-advisory agreement would not result in any change in the nature or quality of services provided to such Fund, or in
the portfolio management team that serves such Fund. The Manager is referred to herein as &#147;BlackRock.&#148;</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Activities and Composition of the Board</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Each Board consists of eleven individuals, nine of whom are not
&#147;interested persons&#148; of such Fund as defined in the Investment Company Act of 1940 (the &#147;1940 Act&#148;) (the &#147;Independent Board
Members&#148;). The Board Members are responsible for the oversight of the operations of the Funds and perform the various duties imposed on the
directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection
with their duties. The Chairman of each Board is an Independent Board Member. Each Board has established six standing committees: an Audit Committee, a
Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee, an Executive Committee, and a Leverage Committee, each
of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee and the Leverage
Committee, each of which also has one interested Board Member).</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>The Advisory Agreements</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Pursuant to the 1940 Act, the Boards are required to consider the
continuation of the Advisory Agreements on an annual basis. The Boards have four quarterly meetings per year, each extending over two days, and a fifth
one-day meeting to consider specific information surrounding the consideration of renewing the Advisory Agreements. In connection with this process,
the Boards assessed, among other things, the nature, scope and quality of the services provided to the Funds by BlackRock, its personnel and its
affiliates, including, as applicable, investment management, administrative, and shareholder services; oversight of fund service providers; marketing
services; risk oversight; compliance and assistance in meeting applicable legal and regulatory requirements.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Boards, acting directly and through their respective
committees, consider at each of their meetings, and from time to time as appropriate, factors that are relevant to their annual consideration of the
renewal of the Advisory Agreements, including the services and support provided by BlackRock to the Funds and their shareholders. Among the matters the
Boards considered were: (a) investment performance for one-year, three-year, five-year and/or since inception periods, as applicable, against peer
funds, and applicable benchmarks, if any, as well as senior management&#146;s and portfolio managers&#146; analysis of the reasons for any
over-performance or underperformance against their peers and/or benchmark, as applicable; (b) fees, including advisory, administration, if applicable,
and other amounts paid to BlackRock and its affiliates by the Funds for services such as call center; (c) Fund operating expenses and how BlackRock
allocates expenses to the Funds; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Funds&#146;
investment objective, policies and restrictions, and meeting new regulatory requirements; (e) the Funds&#146; compliance with their Code of Ethics and
other compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its
affiliates; (g) BlackRock&#146;s and other service providers&#146; internal controls and risk and compliance oversight mechanisms; (h) BlackRock&#146;s
implementation of the proxy voting policies approved by the Boards; (i) execution quality of portfolio transactions; (j) BlackRock&#146;s
implementation of the Funds&#146; valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment
objectives across the open-end fund, closed-end fund and institutional account product channels, as applicable; (l) BlackRock&#146;s compensation
methodology for its investment professionals and the incentives it creates; and (m) periodic updates on BlackRock&#146;s business.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Boards have engaged in an ongoing strategic review with
BlackRock of opportunities to consolidate funds and of BlackRock&#146;s commitment to investment performance. BlackRock also furnished information to
the Boards in response to specific questions. These questions covered issues such as: BlackRock&#146;s profitability; investment performance;
subadvisory and advisory relationships with other clients (including mutual funds sponsored by third parties); investment professional investment in
funds they manage; and management fee levels and breakpoints. The Boards further discussed with BlackRock: BlackRock&#146;s management structure;
portfolio turnover; BlackRock&#146;s portfolio manager compensation and performance accountability; marketing support for the Funds; services provided
to the Funds by BlackRock affiliates; and BlackRock&#146;s oversight of relationships with third party service providers.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Board Considerations in Approving the Advisory
Agreements</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>The Approval Process:</B> Prior to the May Meeting, the Boards
requested and received materials specifically relating to the Advisory Agreements. The Boards are continuously engaged in a process with their
independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist their deliberations. The materials
provided in connection with the May Meeting included (a) information independently compiled and prepared by Lipper, Inc. (&#147;Lipper&#148;) on Fund
fees and expenses as compared with a peer group of funds as determined by Lipper (&#147;Expense Peers&#148;) and the investment performance of the
Funds as compared with a peer group of funds as determined by Lipper<SUP>1</SUP>, as well as the investment performance of each of</FONT></DIV></P>
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	<TD STYLE="width: 17pt; text-align: right"><SUP>1</SUP></TD>
	<TD STYLE="width: 5pt"></TD>
	<TD><FONT STYLE="font: 8pt Arial, Helvetica, sans-serif">Funds are ranked by Lipper in quartiles, ranging
from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.</FONT></TD>
</TR>
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<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Disclosure of Investment Advisory Agreements
(continued)</FONT><FONT color=gray STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
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<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">BHK, BNA and BKT as compared with its custom benchmark; (b)
information on the profits realized by BlackRock and its affiliates pursuant to the Advisory Agreements and a discussion of fall-out benefits to
BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as
institutional clients and open-end funds, under similar investment mandates, as applicable; (d) review of non-management fees; (e) the existence,
impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by each Fund to BlackRock and (g) if applicable, a
comparison of management fees to similar BlackRock closed-end funds, as classified by Lipper.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">At the May Meeting, the Boards reviewed materials relating to
their consideration of the Advisory Agreements. As a result of the discussions that occurred during the May Meeting, and as a culmination of the
Boards&#146; year-long deliberative process, the Boards presented BlackRock with questions and requests for additional information. BlackRock responded
to these requests with additional written information in advance of the June Meeting.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">At the June Meeting, each Board, including the Independent Board
Members, unanimously approved the continuation of the Advisory Agreements between the Manager and its Fund for a one-year term ending June 30, 2015. In
approving the continuation of the Advisory Agreements, the Boards considered: (a) the nature, extent and quality of the services provided by BlackRock;
(b) the investment performance of the Funds and BlackRock; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock
and its affiliates from their relationship with the Funds; (d) the Funds&#146; costs to investors compared to the costs of Expense Peers and
performance compared to the relevant performance comparison as previously discussed; (e) economies of scale; (f) fall-out benefits to BlackRock and its
affiliates as a result of its relationship with the Funds; and (g) other factors deemed relevant by the Board Members.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Boards also considered other matters they deemed important to
the approval process, such as payments made to BlackRock or its affiliates relating to securities lending, services related to the valuation and
pricing of Fund portfolio holdings, direct and indirect benefits to BlackRock and its affiliates from their relationship with the Funds and advice from
independent legal counsel with respect to the review process and materials submitted for the Boards&#146; review. The Boards noted the willingness of
BlackRock personnel to engage in open, candid discussions with the Boards. The Boards did not identify any particular information as determinative, and
each Board Member may have attributed different weights to the various items considered.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>A. Nature, Extent and Quality of the Services Provided by
BlackRock:</B> The Boards, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock,
including the investment advisory services and the resulting performance of the Funds. Throughout the year, each Board compared its Fund&#146;s
performance to the performance of a comparable group of closed-end funds and/or the performance of a relevant benchmark, as applicable. The Boards met
with BlackRock&#146;s senior management personnel responsible for investment activities, including the senior investment officers. Each Board also
reviewed the materials provided by its Fund&#146;s portfolio management team discussing the Fund&#146;s performance and the Fund&#146;s investment
objective, strategies and outlook.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Boards considered, among other factors, with respect to
BlackRock: the number, education and experience of investment personnel generally and their Funds&#146; portfolio management teams; investments by
portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities;
risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management
personnel. The Boards engaged in a review of BlackRock&#146;s compensation structure with respect to the Funds&#146; portfolio management teams and
BlackRock&#146;s ability to attract and retain high-quality talent and create performance incentives.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">In addition to advisory services, the Boards considered the
quality of the administrative and other non-investment advisory services provided to the Funds. BlackRock and its affiliates provide the Funds with
certain services (in addition to any such services provided to the Funds by third parties) and officers and other personnel as are necessary for the
operations of the Funds. In particular, BlackRock and its affiliates provide the Funds with the following administrative services including, among
others: (i) preparing disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public
offering and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Funds; (iii)
oversight of daily accounting and pricing; (iv) preparing periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the
activities of other service providers; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and
compliance support; (viii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger or
consolidation of certain closed-end funds; and (ix) performing other administrative functions necessary for the operation of the Funds, such as tax
reporting, fulfilling regulatory filing requirements and call center services. The Boards reviewed the structure and duties of BlackRock&#146;s fund
administration, shareholder services, legal and compliance departments and considered BlackRock&#146;s policies and procedures for assuring compliance
with applicable laws and regulations.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>B. The Investment Performance of the Funds and BlackRock:</B>
Each Board, including the Independent Board Members, also reviewed and considered the performance history of its Fund. In preparation for the May
Meeting, the Boards worked with their independent legal counsel, BlackRock and Lipper to develop a template for, and were provided with reports
independently prepared by Lipper, which included a comprehensive analysis of each Fund&#146;s performance. The Boards also reviewed a narrative and
statistical analysis of the Lipper data that was prepared by BlackRock, which analyzed various factors that affect Lipper&#146;s rankings. In
connection with its review, each Board received and reviewed information regarding the investment performance, based on net asset value (NAV), of its
Fund as compared to other funds in that Fund&#146;s applicable Lipper category, and with respect to BHK, BNA and BKT, the investment performance of the
Fund as compared with its respective custom benchmark. The Boards were provided with a description of the methodology used by Lipper to select peer
funds and periodically meets with Lipper representatives to review its methodology. Each Board and its Performance Oversight Committee regularly
review, and meet with Fund management to discuss, the performance of its Fund throughout the year.</FONT></DIV></P>
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<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">97<BR></TD></TR></TABLE></DIV>
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Disclosure of Investment Advisory Agreements
(continued)</FONT><FONT color=gray STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
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<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Board of each of BHK, BNA and BKT noted that for each of the
one-, three- and five-year periods reported, its respective Fund&#146;s performance exceeded its customized benchmark. BlackRock believes that
performance relative to the customized benchmark is an appropriate performance metric for BHK, BNA and BKT.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Board of HYT noted that for the one-, three- and five-year
periods reported, HYT ranked in the first, second and first quartiles, respectively, against its Lipper Performance Universe.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>C. Consideration of the Advisory/Management Fees and the Cost
of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Funds:</B> The Board, including the
Independent Board Members, reviewed its Fund&#146;s contractual management fee rate compared with the other funds in its Lipper category. The
contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements
or fee waivers. The Board also compared the Fund&#146;s total expense ratio, as well as its actual management fee rate, to those of other funds in its
Lipper category. The total expense ratio represents a fund&#146;s total net operating expenses, excluding any investment related expenses. The total
expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any
management fee reimbursements or waivers that benefit a fund. The Boards considered the services provided and the fees charged by BlackRock and its
affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Boards received and reviewed statements relating to
BlackRock&#146;s financial condition. The Boards were also provided with a profitability analysis that detailed the revenues earned and the expenses
incurred by BlackRock for services provided to the Funds. The Boards reviewed BlackRock&#146;s profitability with respect to the Funds and other funds
the Boards currently oversee for the year ended December 31, 2013 compared to available aggregate profitability data provided for the prior two years.
The Boards reviewed BlackRock&#146;s profitability with respect to certain other fund complexes managed by the Manager and/or its affiliates. The
Boards reviewed BlackRock&#146;s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in
allocating costs among various advisory products. The Boards recognized that profitability may be affected by numerous factors including, among other
things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a
result, calculating and comparing profitability at individual fund levels is difficult.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Boards noted that, in general, individual fund or product line
profitability of other advisors is not publicly available. The Boards reviewed BlackRock&#146;s overall operating margin, in general, compared to that
of certain other publicly-traded asset management firms. The Boards considered the differences between BlackRock and these other firms, including the
contribution of technology at BlackRock, BlackRock&#146;s expense management, and the relative product mix.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">In addition, the Boards considered the cost of the services
provided to the Funds by BlackRock, and BlackRock&#146;s and its affiliates&#146; profits relating to the management of the Funds and the other funds
advised by BlackRock and its affiliates. As part of its analysis, the Boards reviewed BlackRock&#146;s methodology in allocating its costs to the
management of the Funds. The Boards also considered whether BlackRock has the financial resources necessary to attract and retain high quality
investment management personnel to perform its obligations under the Advisory Agreements and to continue to provide the high quality of services that
is expected by the Boards. The Boards further considered factors including but not limited to BlackRock&#146;s commitment of time, assumption of risk
and liability profile in servicing the Funds in contrast to what is required of BlackRock with respect to other products with similar investment
objectives across the open-end fund, ETF, closed-end fund and institutional account product channels, as applicable.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Board of BHK noted that BHK&#146;s contractual management fee
rate ranked in the second quartile, and that the actual management fee rate and total expense ratio each ranked in the second quartile, relative to
BHK&#146;s Expense Peers. BHK&#146;s Board also noted that BlackRock had voluntarily agreed to waive a portion of the advisory fee payable by BHK,
which was implemented on June 1, 2012. After discussions between the Board of BHK, including the Independent Board Members, and BlackRock, BHK&#146;s
Board and BlackRock agreed to a continuation of the voluntary advisory fee waiver, which will result in savings to shareholders.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Board of each of HYT and BKT noted that its respective
Fund&#146;s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked
in the first quartile, relative to the Fund&#146;s Expense Peers.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Board of BNA noted that BNA&#146;s contractual management fee
rate ranked in the fourth quartile, and that the actual management fee rate and total expense ratio each ranked in the second quartile, relative to
BNA&#146;s Expense Peers.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>D. Economies of Scale:</B> Each Board, including the
Independent Board Members, considered the extent to which economies of scale might be realized as the assets of its Fund increase. Each Board also
considered the extent to which its Fund benefits from such economies and whether there should be changes in the advisory fee rate or breakpoint
structure in order to enable the Fund to participate in these economies of scale, for example through the use of breakpoints in the advisory fee based
upon the asset level of the Fund.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Based on the Boards&#146; review and consideration of the issue,
the Boards concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial
growth after the initial public offering. They are typically priced at scale at a fund&#146;s inception.</FONT></DIV></P>
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<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
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(concluded)</FONT><FONT color=gray STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD NOWRAP STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif"><B><FONT
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<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>E. Other Factors Deemed Relevant by the Board Members:</B> The
Boards, including the Independent Board Members, also took into account other ancillary or &#147;fall-out&#148; benefits that BlackRock or its
affiliates may derive from their respective relationships with the Funds, both tangible and intangible, such as BlackRock&#146;s ability to leverage
its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock&#146;s profile in the investment
advisory community, and the engagement of BlackRock&#146;s affiliates as service providers to the Funds, including securities lending and cash
management services. The Boards also considered BlackRock&#146;s overall operations and its efforts to expand the scale of, and improve the quality of,
its operations. The Boards also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain
registered fund transactions to assist in managing all or a number of its other client accounts. The Boards further noted that it had considered the
investment by BlackRock&#146;s funds in exchange traded funds (i.e., ETFs) without any offset against the management fees payable by the funds to
BlackRock.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">In connection with its consideration of the Advisory Agreements,
the Boards also received information regarding BlackRock&#146;s brokerage and soft dollar practices. The Boards received reports from BlackRock which
included information on brokerage commissions and trade execution practices throughout the year.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Boards noted the competitive nature of the closed-end fund
marketplace, and that shareholders are able to sell their Fund shares in the secondary market if they believe that their Fund&#146;s fees and expenses
are too high or if they are dissatisfied with the performance of their Fund.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Boards also considered the various notable initiatives and
projects BlackRock performed in connection with its closed-end fund product line. These initiatives included completion of the refinancing of auction
rate preferred securities; developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage
leverage that has become increasingly complex; share repurchases and other support initiatives for certain BlackRock funds; and continued
communications efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted
BlackRock&#146;s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive
secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock&#146;s support
services included, among other things: continuing communications concerning the refinancing efforts related to auction rate preferred securities;
sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing
marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Conclusion</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Each Board, including the Independent Board Members, unanimously
approved the continuation of the Advisory Agreements between the Manager and its Fund for a one-year term ending June 30, 2015. Based upon their
evaluation of all of the aforementioned factors in their totality, the Boards, including the Independent Board Members, were satisfied that the terms
of the Advisory Agreements were fair and reasonable and in the best interest of the Funds and their shareholders. In arriving at their decision to
approve the Advisory Agreements, the Boards did not identify any single factor or group of factors as all-important or controlling, but considered all
factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members
were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Funds reflect the
results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor
Board Members) and BlackRock. As a result, the Board Members&#146; conclusions may be based in part on their consideration of these arrangements in
prior years. &nbsp;&nbsp;&nbsp;&nbsp;</FONT></DIV></P>
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<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">99<BR></TD></TR></TABLE></DIV>
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray><A NAME="a_015"></A>Automatic Dividend Reinvestment Plans</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
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<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Pursuant to each Trust&#146;s Dividend Reinvestment Plan (the
&#147;Reinvestment Plan&#148;), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains reinvested by
Computershare Trust Company, N.A. (the &#147;Reinvestment Plan Agent&#148;) in the respective Trust&#146;s shares pursuant to the Reinvestment Plan.
Shareholders who do not participate in the Reinvestment 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 Reinvestment Plan Agent, which serves as
agent for the shareholders in administering the Reinvestment Plan.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">After the Trusts declare a dividend or determine to make a capital
gain distribution, the Reinvestment Plan Agent will acquire shares for the participants&#146; accounts, depending upon the following circumstances,
either (i) through receipt of unissued but authorized shares from the Trusts (&#147;newly issued shares&#148;) or (ii) by purchase of outstanding
shares on the open market or on the Trust&#146;s primary exchange (&#147;open-market purchases&#148;). If, on the dividend payment date, the net asset
value per share (&#147;NAV&#148;) is equal to or less than the market price per share plus estimated brokerage commissions (such condition often
referred to as a &#147;market premium&#148;), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares acquired 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 dividend payment date,
the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is
greater than the market price per share plus estimated brokerage commissions (such condition often referred to as a &#147;market discount&#148;), the
Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment
Plan Agent is unable to invest the full dividend amount in open-market purchases, or if the market discount shifts to a market premium during the
purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in
this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the
dividend payment date.</FONT></DIV></P>
<BR></DIV><DIV STYLE="margin-left: 2%; width: 48%; float: right;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Participation in the Reinvestment Plan is completely voluntary and
may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend
record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such
notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or
resumption will be effective with respect to any subsequently declared dividend or other distribution.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Reinvestment 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 Reinvestment 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></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Each Trust reserves the right to amend or terminate the
Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan. However, each Trust reserves the right to amend the
Reinvestment Plan to include a service charge payable by the participants. Participants that request a sale of shares are subject to a $2.50 sales fee
and a $0.15 per share fee. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. All
correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N.A. through the internet at
http://www.computershare.com/blackrock, or in writing to Computershare, P.O. Box 30170, College Station, TX 77842-3170, Telephone: (800) 699-1236.
Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 211 Quality Circle, Suite 210, College Station, TX
77845.</FONT></DIV></P>
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<TD STYLE="text-align: left; width: 33%">100</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray><A NAME="a_016"></A>Officers and Trustees</FONT><FONT color=gray STYLE="font-size:
10pt">&nbsp;&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
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<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 20%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Name, Address<SUP>1</SUP><BR> and Year
of Birth</B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Position(s)<BR> Held with<BR>
Trusts</B></B></FONT></TD>
     <TD STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Length<BR> of Time<BR> Served as<BR> a
Trustee<SUP>3</SUP></B></B></FONT></TD>
     <TD STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Principal Occupation(s) During Past
Five Years</B></B></FONT></TD>
     <TD STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Number of BlackRock-<BR> Advised
Registered<BR> Investment Companies<BR> (&#147;RICs&#148;) Consisting of<BR> Investment Portfolios<BR> (&#147;Portfolios&#148;)
Overseen</B></B></FONT></TD>
     <TD STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD NOWRAP STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Public<BR>
Directorships</B></B></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD COLSPAN="13" STYLE="border-top: gray 2pt solid; border-bottom: gray 1pt solid; text-align: left; padding-top: 1pt; padding-bottom: 1pt; background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="color: Gray">Independent Trustees<SUP>2</SUP></FONT></DIV></FONT></B></TD>
</TR>
<TR VALIGN="TOP">
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><B>Richard E. Cavanagh</B><BR> 1946</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; padding-top: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Chairman of<BR> the Board<BR> and Trustee</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; padding-top: 3pt">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Since<BR> 2007</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; padding-top: 3pt">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Trustee, Aircraft Finance Trust from 1999 to 2009; Director, The Guardian Life Insurance Company of America
since 1998; Director, Arch Chemical (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and
Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer,
Harvard University since 2007; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to
2007.</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; padding-top: 3pt">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">82 RICs consisting of<BR> 82 Portfolios</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; padding-top: 3pt">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left; padding-top: 3pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">None</DIV></FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="TOP">
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><B>Karen P. Robards</B><BR> 1950</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Vice Chairperson of the Board, Chairperson of the Audit Committee<BR> and Trustee</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Since<BR> 2007</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Partner of Robards &amp; Company, LLC (financial advisory firm) since 1987; Co-founder and Director of the
Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Director of Care Investment Trust, Inc. (health care real estate
investment trust) from 2007 to 2010; Investment Banker at Morgan Stanley from 1976 to 1987.</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">82 RICs consisting of<BR> 82 Portfolios</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">AtriCure, Inc.<BR> (medical devices); Greenhill &amp; Co., Inc.</DIV></FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="TOP">
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><B>Michael J. Castellano</B><BR> 1946</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Trustee and Member of the Audit Committee</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Since<BR> 2011</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from
2004 to 2011; Director, Support Our Aging Religious (non-profit) since 2009; Director, National Advisory Board of Church Management at Villanova
University since 2010; Trustee, Domestic Church Media Foundation since 2012.</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">82 RICs consisting of<BR> 82 Portfolios</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">None</DIV></FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="TOP">
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><B>Frank J. Fabozzi<SUP>4</SUP></B><BR> 1948</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Trustee and Member of the Audit Committee</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Since<BR> 2007</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC
Business School since 2011; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011; Adjunct
Professor of Finance and Becton Fellow, Yale University from 1994 to 2006.</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">115 RICs consisting of<BR> 237 Portfolios</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">None</DIV></FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="TOP">
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><B>Kathleen F. Feldstein</B><BR> 1941</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Trustee</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Since<BR> 2007</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">President of Economics Studies, Inc. (private economic consulting firm) since 1987; Chair, Board of
Trustees, McLean Hospital from 2000 to 2008 and Trustee Emeritus thereof since 2008; Member of the Board of Partners Community Healthcare, Inc. from
2005 to 2009; Member of the Corporation of Partners HealthCare since 1995; Trustee, Museum of Fine Arts, Boston since 1992; Member of the Visiting
Committee to the Harvard University Art Museum since 2003; Director, Catholic Charities of Boston since 2009.</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">82 RICs consisting of<BR> 82 Portfolios</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">The McClatchy Company (publishing)</DIV></FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="TOP">
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><B>James T. Flynn</B><BR> 1939</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Trustee and Member of the Audit Committee</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Since<BR> 2007</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Chief Financial Officer of JPMorgan &amp; Co., Inc. from 1990 to 1995.</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">82 RICs consisting of<BR> 82 Portfolios</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">None</DIV></FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="TOP">
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><B>Jerrold B. Harris</B><BR> 1942</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Trustee</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Since<BR> 2007</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Trustee, Ursinus College since 2000; Director, Ducks Unlimited, Inc. (conservations) since 2013; Director,
Troemner LLC (scientific equipment) since 2000; Director of Delta Waterfowl Foundation from 2010 to 2012; President and Chief Executive Officer, VWR
Scientific Products Corporation from 1990 to 1999.</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">82 RICs consisting of<BR> 82 Portfolios</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BlackRock Kelso Capital Corp. (business development company)</DIV></FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="TOP">
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><B>R. Glenn Hubbard</B><BR> 1958</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Trustee</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Since<BR> 2007</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Dean, Columbia Business School since 2004; Faculty member, Columbia Business School since
1988.</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">82 RICs consisting of<BR> 82 Portfolios</DIV></FONT></TD>
     <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;&nbsp;</TD>
     <TD STYLE="border-bottom: windowtext 1pt solid; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">ADP (data and information services); Metropolitan Life Insurance Company (insurance)</DIV></FONT></TD>
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<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">101<BR></TD></TR></TABLE></DIV>
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Officers and Trustees (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>

<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt"><TR VALIGN="BOTTOM">
     <TD WIDTH="20%" nowrap ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Name, Address<SUP>1</SUP><BR> and Year
of Birth</B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Position(s)<BR> Held with<BR>
Trusts</B></B></FONT></TD>
     <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Length<BR> of Time<BR> Served as<BR> a
Trustee<SUP>3</SUP></B></B></FONT></TD>
     <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Principal Occupation(s) During Past
Five Years</B></B></FONT></TD>
     <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Number of BlackRock-<BR> Advised
Registered<BR> Investment Companies<BR> (&#147;RICs&#148;) Consisting of<BR> Investment Portfolios<BR> (&#147;Portfolios&#148;)
Overseen</B></B></FONT></TD>
     <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Public<BR>
Directorships</B></B></FONT></TD></TR>
<TR VALIGN="TOP">
     <TD colspan="24" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="color: Gray"><B>Independent Trustees<SUP>2
                       </SUP>(concluded)</B></FONT></DIV></FONT></B></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>W. Carl Kester</B><BR> 1951</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Trustee and Member of the Audit Committee</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Since<BR> 2007</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008; Deputy
Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Unit, 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program from
1999 to 2005; Member of the faculty of Harvard Business School since 1981.</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">82 RICs consisting of<BR> 82 Portfolios</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">None</DIV></FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN=19><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;<DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><SUP>1</SUP>&nbsp; The address of each Trustee is c/o BlackRock, Inc., Park Avenue Plaza, 55 East 52nd Street, New York, NY
10055.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN=19><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;<DIV STYLE="MARGIN-LEFT: 13px;
TEXT-INDENT: -13px"><SUP>2</SUP>&nbsp; Independent Trustees serve until their resignation, removal or death, or until December 31 of the year in which
they turn 74. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon finding good cause thereof. In
2013, the Board of Trustees unanimously approved extending the mandatory retirement age for James T. Flynn by one additional year, which the Board
believed would be in the best interest of shareholders. Mr. Flynn can serve until December 31 of the year in which he turns 75. Mr. Flynn turns 75 in
2014.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN=19><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;<DIV STYLE="MARGIN-LEFT: 13px;
TEXT-INDENT: -13px"><SUP>3</SUP>&nbsp; Date shown is the earliest date a person has served for the Trusts covered by this annual report. Following the
combination of Merrill Lynch Investment Managers, L.P. (&#147;MLIM&#148;) and BlackRock, Inc. (&#147;BlackRock&#148;) in September 2006, the various
legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. As a result, although the chart shows
certain Trustees as joining the Trusts&#146; board in 2007, those Trustees first became members of the boards of other legacy MLIM or legacy BlackRock
funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; Kathleen F. Feldstein, 2005; James T. Flynn, 1996; Jerrold B. Harris, 1999; R.
Glenn Hubbard, 2004; W. Carl Kester, 1995 and Karen P. Robards, 1998.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN=19><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;<DIV STYLE="MARGIN-LEFT: 0px;
TEXT-INDENT: 0px"><SUP>4</SUP>&nbsp; Dr. Fabozzi is also a board member of the BlackRock Equity-Liquidity Complex.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;</TD>
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<TD>&nbsp;&nbsp;</TD>
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<TD>&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;</TD>
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     <TD colspan="24" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="color: Gray"><B>Interested Trustees<SUP>5</SUP></B></FONT></DIV></FONT></B></TD>
     <TD  COLSPAN="3"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="20%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><B>Paul L. Audet</B><BR> 1953</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Trustee</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Since<BR> 2011</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Senior Managing Director of BlackRock and Head of U.S. Mutual Funds since 2011; Head of BlackRock&#146;s
Real Estate business from 2008 to 2011; Member of BlackRock&#146;s Global Operating and Corporate Risk Management Committees since 2008; Head of
BlackRock&#146;s Global Cash Management business from 2005 to 2010; Acting Chief Financial Officer of BlackRock from 2007 to 2008; Chief Financial
Officer of BlackRock from 1998 to 2005.</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">144 RICs consisting of<BR> 330 Portfolios</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">None</DIV></FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Henry Gabbay</B><BR> 1947</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Trustee</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Since<BR> 2007</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Consultant, BlackRock from 2007 to 2008; Managing Director, BlackRock from 1989 to 2007; Chief
Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Allocation Target Shares (formerly
BlackRock Bond Allocation Target Shares) from 2005 to 2007; Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to
2006.</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">144 RICs consisting of<BR> 330 Portfolios</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">None</DIV></FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN=19><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;<DIV STYLE="MARGIN-LEFT: 13px;
TEXT-INDENT: -13px"><SUP>5</SUP>&nbsp; Mr. Audet is an &#147;interested person,&#148; as defined in the 1940 Act, of the Trusts based on his position with
BlackRock and its affiliates as well as his ownership of BlackRock securities. Mr. Gabbay is an &#147;interested person&#148; of the Trusts based on
his former positions with BlackRock and its affiliates as well as his ownership of BlackRock and The PNC Financial Services Group, Inc. securities. Mr.
Audet and Mr. Gabbay are also Directors of two complexes of BlackRock registered open-end funds, the BlackRock Equity-Liquidity Complex and the
BlackRock Equity-Bond Complex. Interested Trustees of the BlackRock Closed-End Complex serve until their resignation, removal or death, or until
December 31 of the year in which they turn 72. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon
finding a good cause thereof.</DIV></FONT></TD>
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<TD STYLE="text-align: left; width: 33%">102</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Officers and Trustees (concluded)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>

<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="20%" nowrap ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Name, Address<SUP>1</SUP><BR> and Year
of Birth</B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Position(s)<BR> Held with<BR>
Trusts</B></B></FONT></TD>
     <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Length of<BR> Time
Served</B></B></FONT></TD>
     <TD ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B><B>Principal Occupation(s) During Past
Five Years</B></B></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD colspan="16" style="text-align: left; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt; font-family: Arial, Helvetica, Sans-Serif"><B><FONT FACE="Arial, Helvetica, sans-serif"
STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><FONT STYLE="color: Gray"><B>Officers<SUP>2</SUP></B></FONT></DIV></FONT></B></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="20%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><B>John M. Perlowski</B><BR> 1964</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">President and Chief Executive Officer</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Since<BR> 2011</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Managing Director of BlackRock since 2009; Global Head of BlackRock Fund Services since 2009; Managing
Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs
Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009;
Director of Family Resource Network (charitable foundation) since 2009.</DIV></FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="20%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><B>Brendan Kyne</B><BR> 1977</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Vice<BR> President</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Since<BR> 2009</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from 2008 to 2009; Head of
Americas Product Development for BlackRock since 2013, Head of Product Development and Management for BlackRock&#146;s U.S. Retail Group from 2009 to
2013 and Co-head thereof from 2007 to 2009; Vice President of BlackRock, Inc. from 2005 to 2008.</DIV></FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="20%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><B>Robert W. Crothers</B><BR> 1981</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Vice<BR> President</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Since<BR> 2012</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Director of BlackRock since 2011; Vice President of BlackRock from 2008 to 2010.</DIV></FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="20%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><B>Neal Andrews</B><BR> 1966</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Chief<BR> Financial<BR> Officer</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Since<BR> 2007</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund
Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.</DIV></FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="20%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><B>Jay Fife</B><BR> 1970</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Treasurer</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Since<BR> 2007</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM
and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.</DIV></FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="20%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><B>Charles Park</B><BR> 1967</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Chief Compliance Officer and Anti-Money Laundering Officer</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Since<BR>2014</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond
Complex, the Equity-Liquidity Complex and the Closed-End Complex since 2014; Principal of and Chief Compliance Officer for iShares<sup>&#174;</sup>
Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (&#147;BFA&#148;) since 2006; Chief Compliance Officer for the BFA-advised iShares
exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.</DIV></FONT></TD>
</TR>
<TR><TD>&nbsp;</TD></TR>
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Janey Ahn</B><BR> 1975</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Secretary</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Since<BR> 2012</DIV></FONT></TD>
     <TD WIDTH=5% style='border-bottom: solid windowtext 1pt'>&nbsp;&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN="3" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">Director of BlackRock since 2009; Vice President of BlackRock from 2008 to 2009; Assistant Secretary of the
Funds from 2008 to 2012.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="20%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">&nbsp;</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN=11><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;<DIV STYLE="MARGIN-LEFT: 13px;
TEXT-INDENT: -13px"><SUP>1</SUP>&nbsp; The address of each Officer is c/o BlackRock, Inc., Park Avenue Plaza, 55 East 52nd Street, New York, NY
10055.</DIV></FONT></TD>
</TR>
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="20%" style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">&nbsp;</DIV></FONT></TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD  style='border-bottom: solid windowtext 1pt'>&nbsp;</TD>
     <TD ALIGN="LEFT" COLSPAN=11 style='border-bottom: solid windowtext 1pt'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;<DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px"><SUP>2</SUP>&nbsp; Officers of the Trusts serve at the pleasure of the
Boards.</DIV></FONT></TD>
</TABLE>
<DIV STYLE="BORDER: SOLID WINDOWTEXT 1PX; PADDING: 4px; MARGIN-TOP: 12px; WIDTH: 98%">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">Effective June 6, 2014, Brian Kindelan resigned as Chief Compliance Officer and Anti-Money Laundering Officer of the Trusts and Charles Park
became Chief Compliance Officer and Anti-Money Laundering Officer of the Trusts.</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
</TR></TABLE>
</DIV>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" STYLE="width: 100%; font-size: 9pt">
<TR VALIGN="TOP">
     <TD COLSPAN="10" STYLE="text-align: left"><FONT STYLE="font: 9pt Arial, Helvetica, sans-serif"><DIV STYLE="text-indent: 0px"><HR SIZE="6" NOSHADE STYLE="color: gray; margin-top: 12pt"></DIV>

</FONT> &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;</TD></TR>
<TR VALIGN="TOP">
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Investment Advisor<BR> </B>BlackRock Advisors, LLC<BR> Wilmington, DE 19809<BR><B></B></DIV>
                                                                                                   <DIV STYLE="margin-left: 0px; text-indent: 0px"><B>&nbsp;</B></DIV>

                                                                                                   <DIV STYLE="margin-left: 0px; text-indent: 0px"><B>Transfer Agent<BR> </B>Computershare Trust<BR> Company,
N.A.<BR> Canton, MA 02021<BR></DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="margin-left: 0px; text-indent: 0px; margin-bottom: 10pt"><B>Custodian and Accounting Agent<BR> </B>State Street Bank and Trust Company<BR> Boston, MA 02110<BR><B></B></DIV>
                                                                                                   <DIV STYLE="margin-left: 0px; text-indent: 0px"><B>Legal Counsel<BR> </B>Skadden, Arps,
Slate, Meagher &amp; Flom LLP<BR> New York, NY 10036</DIV></FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Independent Registered<BR>Public Accounting Firm<BR> </B>Deloitte &amp; Touche LLP<BR> Boston, MA 02116<BR> </DIV></FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px"><B>Address of the Trusts<BR> </B>100 Bellevue Parkway<BR> Wilmington, DE 19809</DIV></FONT></TD>
     <TD>&nbsp;&nbsp;</TD>
</TABLE>
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<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">103<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
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<TD width="36%"></TD></TR>
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<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray><A NAME="a_017"></A>Additional Information</FONT><FONT color=gray STYLE="font-size:
10pt">&nbsp;&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<P STYLE="text-align: left; color: gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: gray"><B>Proxy Results</B></FONT></P>

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Annual Meeting of Shareholders was held on July 30, 2014 for
shareholders of record on June 3, 2014, to elect trustee/director nominees for each Trust/Fund. There were no broker non-votes with regard to any of
the Trusts/Funds.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Approved the Class I Trustees as follows:</FONT></DIV></P>
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     <TD NOWRAP STYLE="width: 100%; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="11" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Paul L. Audet</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN="11" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Michael J. Castellano</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD COLSPAN="11" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>R. Glenn Hubbard</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD NOWRAP STYLE="width: 100%; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes For</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes<BR> Withheld</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Abstain</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes For</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes<BR> Withheld</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Abstain</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes For</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" NOWRAP STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes<BR> Withheld</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Abstain</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BHK</DIV></FONT></TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">20,228,799</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">875,766</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">20,255,029</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">849,536</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">20,237,030</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">867,535</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%">&nbsp;&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BNA</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">25,070,856</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,044,610</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">25,060,735</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,054,731</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">25,065,822</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,049,644</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BKT</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">45,954,235</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,539,165</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">46,035,529</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,457,871</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">45,985,101</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,508,299</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
<TR VALIGN="BOTTOM">
     <TD COLSPAN=39 WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN="15" NOWRAP STYLE="width: 100%; text-align: center; padding-top: 12pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;</FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=11 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>W. Carl Kester</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes For</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes<BR> Withheld</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Abstain</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BHK</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">20,235,184</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">869,381</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">BNA</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">25,098,245</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,017,221</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5%>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">BKT</DIV></FONT></TD>
     <TD  STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD  STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD  STYLE='border-bottom: Black 2px solid'>&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">46,005,939</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">4,487,461</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH=5% STYLE='border-bottom: Black 2px solid'>&nbsp;&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap STYLE='border-bottom: Black 2px solid'><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TABLE>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">For the Trusts listed above, Trustees whose term of office
continued after the Annual Meeting of Shareholders because they were not up for election are Richard E. Cavanagh, Frank J. Fabozzi, Kathleen F.
Feldstein, James T. Flynn, Henry Gabbay, Jerrold B. Harris and Karen P. Robards.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Approved the Trustees as follows:</FONT></DIV></P>
<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-bottom: 3pt">
<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=11 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Paul L. Audet</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=11 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Michael J. Castellano</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="11" NOWRAP STYLE="text-align: center; padding-left: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Richard E. Cavanagh</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes For</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes<BR> Withheld</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Abstain</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes For</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes<BR> Withheld</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Abstain</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes For</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes<BR> Withheld</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Abstain</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD STYLE="text-align: left; width: 100%; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">HYT</DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">100,486,404</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,881,425</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">88,240,203</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">14,127,626</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">100,551,424</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,816,405</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD STYLE="width: 5%; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="width: 5%; text-align: right; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD STYLE="text-align: right; text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD NOWRAP STYLE="width: 5%; text-align: left; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=11 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Frank J. Fabozzi</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=11 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Kathleen F. Feldstein</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="11" NOWRAP STYLE="text-align: center; padding-left: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>James T. Flynn</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes For</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes<BR> Withheld</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Abstain</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes For</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes<BR> Withheld</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Abstain</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes For</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes<BR> Withheld</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Abstain</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">HYT</DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">88,179,722</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">14,188,107</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">100,347,600</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">2,020,229</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">88,210,381</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">14,157,448</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=11 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Henry Gabbay</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=11 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Jerrold B. Harris</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="11" NOWRAP STYLE="text-align: center; padding-left: 6pt"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>R. Glenn Hubbard</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes For</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes<BR> Withheld</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Abstain</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes For</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes<BR> Withheld</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Abstain</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes For</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes<BR> Withheld</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Abstain</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">HYT</DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">100,482,188</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,885,641</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">100,453,262</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,914,567</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">100,518,696</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">1,849,133</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
<TR VALIGN="BOTTOM">
     <TD COLSPAN=28 WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=11 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>W. Carl Kester</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;</FONT></TD>
     <TD COLSPAN=11 nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Karen P. Robards</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;</FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD WIDTH="100%" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B></B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes For</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes<BR> Withheld</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Abstain</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes For</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Votes<BR> Withheld</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt">&nbsp;&nbsp;<HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
     <TD COLSPAN="3" nowrap ALIGN="CENTER"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="font-size: 9pt"><B>Abstain</B><HR SIZE="1" NOSHADE ALIGN="CENTER" STYLE="color: Black; margin-top: 0pt; margin-bottom: 0pt"></FONT></TD>
</TR>
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV
STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">HYT</DIV></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">88,297,842</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">14,069,987</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">88,258,695</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">14,109,134</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;</FONT></TD>
     <TD WIDTH="5%" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD WIDTH="5%" ALIGN="RIGHT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" STYLE="border-bottom: Black 1pt solid; text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">0</FONT></TD>
     <TD WIDTH="5%" ALIGN="LEFT" NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE:
9pt">&nbsp;&nbsp;</FONT></TD>
</TR>     <TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD>
     <TD>&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD NOWRAP STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>
<P STYLE="text-align: left; color: gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: gray"><B>Trust Certification</B></FONT></P>
<DIV STYLE="margin-right: 2%; width: 48%; float: left;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Certain Trusts are listed for trading on the NYSE and have filed
with the NYSE their annual chief executive officer certification regarding compliance with the NYSE&#146;s listing standards. The Trusts filed with the
SEC</FONT></DIV></P>
<BR></DIV><DIV STYLE="margin-left: 2%; width: 48%; float: right;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">the certification of their chief executive officer and chief
financial officer required by section 302 of the Sarbanes-Oxley Act.</FONT></DIV></P>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
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<TR>
<TD STYLE="text-align: left; width: 33%">104</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV align=left>
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<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0 cellpadding=0>
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<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Additional Information (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<P STYLE="text-align: left; color: gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: gray"><B>Dividend Policy</B></FONT></P>
<DIV STYLE="margin-right: 2%; width: 48%; float: left;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Each Trust&#146;s dividend policy is to distribute all or a
portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend
distributions, the dividends paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the
Trusts during such month. The portion of dividend distributions that exceeds a Trust&#146;s current and accumulated earnings and profits, which are
measured on a tax basis, will constitute a nontaxable return on capital. Dividend</FONT></DIV></P>
<BR></DIV><DIV STYLE="margin-left: 2%; width: 48%; float: right;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">distributions in excess of a Trust&#146;s taxable income and net
capital gains, but not in excess of a Trust&#146;s earnings and profits, will be taxable to shareholders as ordinary income and will not constitute a
nontaxable return of capital. The Trusts&#146; current accumulated but undistributed net investment income, if any, is disclosed in the Statements of
Assets and Liabilities, which comprises part of the financial information included in this report.</FONT></DIV></P>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></DIV></P>
<P STYLE="text-align: left; color: gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: gray"><B>General Information</B></FONT></P>
<DIV STYLE="margin-right: 2%; width: 48%; float: left;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Trusts do not make available copies of their Statements of
Additional Information because the Trusts&#146; shares are not continuously offered, which means that the Statement of Additional Information of each
Trust has not been updated after completion of the respective Trust&#146;s offerings and the information contained in each Trust&#146;s Statement of
Additional Information may have become outdated.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">During the period, there were no material changes in the
Trusts&#146; investment objectives or policies or to the Trusts&#146; charter or by-laws that would delay or prevent a change of control of the Trusts
that were not 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; portfolios.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Quarterly performance, semi-annual and annual reports, current net
asset value and other information regarding the Trusts may be found on BlackRock&#146;s website, which can be accessed at
<B>http://www.blackrock.com</B>. 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 in this report.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Electronic Delivery</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Electronic copies of most financial reports are available on the
Trusts&#146; website or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the
Trusts&#146; electronic delivery program.</FONT></DIV></P>
<BR></DIV><DIV STYLE="margin-left: 2%; width: 48%; float: right;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Shareholders Who Hold Accounts with Investment Advisors, Banks
or Brokerages:</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Please contact your financial advisor to enroll. Please note that
not all investment advisors, banks or brokerages may offer this service.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Householding</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">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 call the Trusts at (800) 882-0052. </FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Availability of Quarterly Schedule of
Investments</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">The Trusts file their complete schedule of portfolio holdings with
the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts&#146; Forms N-Q are available on the SEC&#146;s website at
http://www.sec.gov and may also be reviewed and copied at the SEC&#146;s Public Reference Room in Washington, DC. Information on how to access
documents on the SEC&#146;s website without charge may be obtained by calling (800) SEC-0330. The Trusts&#146; Forms N-Q may also be obtained upon
request and without charge by calling (800) 882-0052.</FONT></DIV></P>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
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<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">105<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
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<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Additional Information (continued)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<P STYLE="text-align: left; color: gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: gray"><B>General Information
(concluded)</B></FONT></P>
<DIV STYLE="margin-right: 2%; width: 48%; float: left;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Availability of Proxy Voting Policies and
Procedures</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">A description of the policies and procedures that the Trusts use
to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 882-0052; (2) at
<B>http://www.blackrock.com</B>; and (3) on the SEC&#146;s website at http://www.sec.gov.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Availability of Proxy Voting Record</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">Information about how the Trusts voted proxies relating to securities held in the Trusts&#146; portfolios
                                                                   during the most recent 12-month period ended June 30 is available upon request and without charge (1) at <B>http://www.blackrock.com</B>
                                                                   or by calling (800) 882-0052 and (2) on the SEC&#146;s website at http://www.sec.gov.</FONT></DIV></P>
<BR></DIV><DIV STYLE="margin-left: 2%; width: 48%; float: right;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT"><B>Availability of Trust Updates</B></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">BlackRock will update performance and certain other data for the
Trusts on a monthly basis on its website in the &#147;Closed-end Funds&#148; section of <B>http://www.blackrock.com</B> as well as certain other
material information as necessary from time to time. Investors and others are advised to periodically check the website for updated performance
information and the release of other material information about the Trusts. 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 in this
report.</FONT></DIV></P>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY">&nbsp;&nbsp;&nbsp;&nbsp; </FONT></DIV></P>
<P STYLE="text-align: left; color: gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: gray"><B>Shelf Offering
Program</B></FONT></P>
<DIV STYLE="margin-right: 2%; width: 48%; float: left;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">From time-to-time, each Trust may seek to raise additional equity
capital through an equity shelf program (a &#147;Shelf Offering&#148;). In a Shelf Offering, a Trust may, subject to market conditions, raise
additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above the Trust&#146;s net asset value
(&#147;NAV&#148;) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow a Trust to pursue additional
investment opportunities without the need to sell existing portfolio investments, it could also entail risks &#151; including that the issuance of
additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market. Each Trust,
other than HYT, has not filed a registration statement with respect to any Shelf Offerings. This report is not an offer to sell Trust Common Shares and
is not a solicitation of an offer to buy Trust Common Shares. If a Trust files a registration with respect to any Shelf Offering, the prospectus
contained therein will contain more complete information about the Trust and should be read carefully before investing.</FONT></DIV></P>
<BR></DIV><DIV STYLE="margin-left: 2%; width: 48%; float: right;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">On June 11, 2014, HYT filed a registration statement with the SEC
to issue additional HYT Common Shares through a Shelf Offering, which is not yet effective. HYT may not sell any HYT Common Shares in a Shelf Offering
until the registration statement filed with the SEC is effective. This report and the preliminary prospectus are not offers to sell HYT Common Shares
and are not solicitations of an offer to buy HYT Common Shares in any jurisdiction where the offers or sales are not permitted. The preliminary
prospectus contains more complete information about HYT&#146;s Shelf Offering and should be read carefully before investing. The information in the
preliminary prospectus for HYT is not complete and may be amended or changed. A copy of the final prospectus for HYT can be obtained from BlackRock at
<B>http://&nbsp;www.blackrock.com</B>, when available.</FONT></DIV></P>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
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<TR>
<TD STYLE="text-align: left; width: 33%">106</TD>
<TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD>
<TD STYLE="text-align: right; width: 33%">AUGUST 31, 2014<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
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<TD width="36%"></TD></TR>
<TR vAlign=bottom>
<TD align=left STYLE="font-size: 14pt; border-top: gray 4pt solid"><FONT color=gray>Additional Information (concluded)</FONT><FONT color=gray
STYLE="font-size: 10pt">&nbsp;&nbsp;</FONT></TD>
<TD STYLE="text-align: right; border-top: gray 4pt solid; font: 10pt Arial, Helvetica, Sans-Serif" NOWRAP><B><FONT
color=gray><BR></FONT></B></TD></TR></TABLE></DIV>
<P STYLE="text-align: left; color: gray; border-top: gray 2pt solid; border-bottom: gray 1pt solid; padding-top: 1pt; padding-bottom: 1pt;
background-color: #f0f0f0; padding-left: 12pt"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: gray"><B>BlackRock
Privacy Principles</B></FONT></P>
<DIV STYLE="margin-right: 2%; width: 48%; float: left;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">BlackRock is committed to maintaining the privacy of its current
and former fund investors and individual clients (collectively, &#147;Clients&#148;) and to safeguarding their non-public personal information. The
following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in
certain cases we share such information with select parties.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">If you are located in a jurisdiction where specific laws, rules or
regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will
comply with those specific laws, rules or regulations.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">BlackRock obtains or verifies personal non-public information from
and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on
applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from
a consumer reporting agency; and (iv) from visits to our websites.</FONT></DIV></P>
<BR></DIV><DIV STYLE="margin-left: 2%; width: 48%; float: right;">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>

<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">BlackRock does not sell or disclose to non-affiliated third
parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to
service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it
only for its intended purpose.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">We may share information with our affiliates to service your
account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts
access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock
maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including
procedures relating to the proper storage and disposal of such information.</FONT></DIV></P>
</DIV><BR STYLE="clear:both">
<P ALIGN="JUSTIFY"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="JUSTIFY"></FONT></DIV></P>
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<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif">
<TR>
<TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD>
<TD STYLE="text-align: center; width: 34%">AUGUST 31, 2014</TD>
<TD STYLE="text-align: right; width: 33%">107<BR></TD></TR></TABLE></DIV>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>
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<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="2"><DIV ALIGN="LEFT">This report is intended for existing shareholders. It is not a
prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged
their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of
the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares&#146; yield. Statements and other
information herein are as dated and are subject to change.</FONT></DIV></P>
<P ALIGN="LEFT"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT"></FONT></DIV></P>

<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="TOP">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT: 0px">
<IMG SRC="paperless_page-76.jpg" STYLE="height: 91px; width: 250px">
<BR>
&nbsp;</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
<TD>&nbsp;&nbsp;&nbsp;&nbsp;</TD>
</TR></TABLE>
<P STYLE="text-align: center"><FONT FACE="Arial, Helvetica, sans-serif" SIZE="1"><DIV ALIGN="LEFT"></FONT></DIV></P>

<TABLE ALIGN="CENTER" CELLPADDING="0" CELLSPACING="0" BORDER="0" WIDTH="100%" STYLE="FONT-SIZE: 9pt">
<TR VALIGN="BOTTOM">
     <TD ALIGN="LEFT" WIDTH="100%"><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><DIV STYLE="MARGIN-LEFT: 0px; TEXT-INDENT:
0px">CEFBHK-8/14-AR</DIV></FONT></TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD >&nbsp;</TD>
     <TD WIDTH=5% ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>
     <TD ALIGN="RIGHT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt"><IMG SRC="blackrock_1-5in.jpg">
<BR>
&nbsp;</FONT></TD>
     <TD WIDTH=5% ALIGN="LEFT" nowrap><FONT FACE="Arial, Helvetica, sans-serif" STYLE="FONT-SIZE: 9pt">&nbsp;&nbsp;&nbsp;</FONT></TD>
</TR></TABLE>
<DIV STYLE="border-bottom: Black 4pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width:
100%">&nbsp;</TD></TR></TABLE></DIV>
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New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width:
50%">&nbsp;</TD></TR></TABLE></DIV>

<div style="font-family: 'Times';font-size: 10pt;">

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 11pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 10%; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Item 2 &ndash; </FONT></TD>
    <TD STYLE="width: 90%; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Code of Ethics &ndash; The registrant (or the &ldquo;Fund&rdquo;) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant&rsquo;s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.&nbsp;&nbsp;During the period covered by this report, there have been no amendments to or waivers granted under the code of ethics. A copy of the code of ethics is available without charge at www.blackrock.com.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 11pt">Item 3 &ndash;</FONT></TD>
    <TD><FONT STYLE="font-size: 11pt">Audit Committee Financial Expert &ndash; The registrant&rsquo;s board of directors (the &ldquo;board of directors&rdquo;), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent: </FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">Michael Castellano</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">Frank J. Fabozzi </FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">James T. Flynn </FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">W. Carl Kester </FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">Karen P. Robards </FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: justify">&nbsp;</TD>
    <TD STYLE="text-align: justify"><FONT STYLE="font-size: 11pt">The registrant&rsquo;s board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">Prof. Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions.&nbsp;&nbsp;Prof. Kester has been involved in providing valuation and other financial consulting services to corporate clients since 1978.&nbsp;&nbsp;Prof. Kester&rsquo;s financial consulting services present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant&rsquo;s financial statements.&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions.&nbsp;&nbsp;Ms. Robards has been President of Robards &amp; Company, a financial advisory firm, since 1987.&nbsp;&nbsp;Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results.&nbsp;&nbsp;Ms. Robards has over 30 years of experience analyzing financial statements.&nbsp;&nbsp;She also is a member of the audit committee of one publicly held company and a non-profit organization.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an &ldquo;expert&rdquo; for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert.&nbsp;&nbsp;The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification.&nbsp;&nbsp;The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors. </FONT></TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 42pt">&nbsp;</P>


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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 11pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 10%; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Item 4 &ndash; </FONT></TD>
    <TD STYLE="width: 90%; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Principal Accountant Fees and Services </FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">The following table presents fees billed by Deloitte &amp; Touche LLP (&ldquo;D&amp;T&rdquo;) in each of the last two fiscal years for the services rendered to the Fund:</FONT></TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 11pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; border: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; border-top: Black 1pt solid; border-right: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt"><B>(a) Audit Fees</B></FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; border-top: Black 1pt solid; border-right: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt"><B>(b) Audit-Related Fees<SUP>1</SUP></B></FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; border-top: Black 1pt solid; border-right: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt"><B>(c) Tax Fees<SUP>2</SUP></B></FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; border-top: Black 1pt solid; border-right: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt"><B>(d) All Other Fees<SUP>3</SUP></B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 19%; border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: Black 1pt solid; text-decoration: underline; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt"><B><U>Entity Name</U></B></FONT></TD>
    <TD STYLE="width: 11%; border-bottom: Black 1pt solid; border-right: Black 1pt solid; text-decoration: underline; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt"><B><U>Current Fiscal Year End</U></B></FONT></TD>
    <TD STYLE="width: 10%; border-bottom: Black 1pt solid; border-right: Black 1pt solid; text-decoration: underline; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt"><B><U>Previous Fiscal Year End</U></B></FONT></TD>
    <TD STYLE="width: 10%; border-bottom: Black 1pt solid; border-right: Black 1pt solid; text-decoration: underline; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt"><B><U>Current Fiscal Year End</U></B></FONT></TD>
    <TD STYLE="width: 10%; border-bottom: Black 1pt solid; border-right: Black 1pt solid; text-decoration: underline; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt"><B><U>Previous Fiscal Year End</U></B></FONT></TD>
    <TD STYLE="width: 10%; border-bottom: Black 1pt solid; border-right: Black 1pt solid; text-decoration: underline; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt"><B><U>Current Fiscal Year End</U></B></FONT></TD>
    <TD STYLE="width: 10%; border-bottom: Black 1pt solid; border-right: Black 1pt solid; text-decoration: underline; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt"><B><U>Previous Fiscal Year End</U></B></FONT></TD>
    <TD STYLE="width: 10%; border-bottom: Black 1pt solid; border-right: Black 1pt solid; text-decoration: underline; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt"><B><U>Current Fiscal Year End</U></B></FONT></TD>
    <TD STYLE="width: 10%; border-bottom: Black 1pt solid; border-right: Black 1pt solid; text-decoration: underline; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt"><B><U>Previous Fiscal Year End</U></B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top; border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: Black 1pt solid; font-size: 8pt; padding-left: 6"><FONT STYLE="font-size: 8pt">BlackRock Income Trust, Inc.</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$63,088</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$61,863</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$0</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$0</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$6,600</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$6,600</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$0</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$0</FONT></TD></TR>
</TABLE>
<P STYLE="font: 9pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 11pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 10%">&nbsp;</TD>
    <TD STYLE="width: 90%"><FONT STYLE="font-size: 11pt">The following table presents fees billed by D&amp;T that were required to be approved by the registrant&rsquo;s audit committee (the &ldquo;Committee&rdquo;) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (&ldquo;Investment Adviser&rdquo; or &ldquo;BlackRock&rdquo;) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (&ldquo;Fund Service Providers&rdquo;):</FONT></TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 11pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 31%; border: Black 1pt solid; padding-right: -0.25in; font-size: 8pt; padding-left: 6">&nbsp;</TD>
    <TD STYLE="width: 31%; border-top: Black 1pt solid; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: -0.25in; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt"><B>Current Fiscal Year End</B></FONT></TD>
    <TD STYLE="width: 38%; border-top: Black 1pt solid; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: -0.25in; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt"><B>Previous Fiscal Year End</B></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: -0.25in; font-size: 8pt; padding-left: 6"><FONT STYLE="font-size: 8pt"><B>(b) Audit-Related Fees<SUP>1</SUP></B></FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: -0.25in; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$0</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: -0.25in; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$0</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: -0.25in; font-size: 8pt; padding-left: 6"><FONT STYLE="font-size: 8pt"><B>(c) Tax Fees<SUP>2</SUP></B></FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: -0.25in; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$0</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: -0.25in; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$0</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: -0.25in; font-size: 8pt; padding-left: 6"><FONT STYLE="font-size: 8pt"><B>(d) All Other Fees<SUP>3</SUP></B></FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: -0.25in; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$2,555,000</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: -0.25in; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$2,865,000</FONT></TD></TR>
</TABLE>
<P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 6pt 0 0"><SUP>1</SUP> The nature of the services includes assurance
and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.</P>

<P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt; text-indent: -41.75pt"><SUP>2</SUP> The nature of the
services includes tax compliance, tax advice and tax planning.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"><FONT STYLE="font-size: 8pt"><SUP>3</SUP> Aggregate fees borne by
BlackRock in connection with the review of compliance procedures and attestation thereto performed by D&amp;T with respect to all
of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.</FONT><BR>
<BR>
<BR>
</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 11pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="2"><FONT STYLE="font-size: 11pt">(e)(1) Audit Committee Pre-Approval Policies and Procedures:</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 10%">&nbsp;</TD>
    <TD STYLE="width: 90%">
        <P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0; text-indent: 0">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The Committee
        has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services
        provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other
        non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Fund Service
        Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services
        that the Committee believes are (a) consistent with the SEC&rsquo;s auditor independence rules and (b) routine and recurring services
        that will not impair the independence of the independent accountants may be approved by the Committee without consideration on
        a specific case-by-case basis (&ldquo;general pre-approval&rdquo;). The term of any general pre-approval is 12 months from the
        date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the
        registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved
        provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose,
        multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.</P>
        <P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0"></P></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services).&nbsp;&nbsp;The Committee is informed of each service approved</FONT></TD></TR>
</TABLE>

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 11pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 10%; padding-bottom: 11pt">&nbsp;</TD>
    <TD STYLE="width: 90%; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">subject to general pre-approval at the next regularly scheduled in-person board meeting.&nbsp;&nbsp;At this meeting, an analysis of such services is presented to the Committee for ratification.&nbsp;&nbsp;The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels. </FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(e)(2)&nbsp;&nbsp;None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(f) Not Applicable</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(g) The aggregate non-audit fees paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Fund Service Providers were:</FONT></TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 42.75pt; text-indent: -42.75pt">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 11pt Times New Roman, Times, Serif; width: 70%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 33%; border: Black 1pt solid; text-decoration: underline; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt"><B><U>Entity Name</U></B></FONT></TD>
    <TD STYLE="width: 34%; border-top: Black 1pt solid; border-right: Black 1pt solid; border-bottom: Black 1pt solid; text-decoration: underline; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt"><B><U>Current Fiscal Year End</U></B></FONT></TD>
    <TD STYLE="width: 33%; border-top: Black 1pt solid; border-right: Black 1pt solid; border-bottom: Black 1pt solid; text-decoration: underline; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt"><B><U>Previous Fiscal Year End</U></B></FONT></TD></TR>
<TR>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: Black 1pt solid; font-size: 8pt"><FONT STYLE="font-size: 8pt">BlackRock Income Trust, Inc.</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$6,600</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$6,600</FONT></TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt; text-indent: -41.75pt">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 11pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-bottom: 11pt; font-size: 10pt"><FONT STYLE="font-size: 11pt">Additionally, SSAE 16 Review (Formerly, SAS No. 70) fees for the current and previous fiscal years of $2,555,000</FONT><FONT STYLE="font-size: 8pt"> </FONT><FONT STYLE="font-size: 11pt">and $2,865,000, respectively, were billed by D&amp;T to the Investment Adviser.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 11pt">(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Fund Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant&rsquo;s independence. </FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 10%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 85%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Item 5 &ndash;</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Audit Committee of Listed Registrants </FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">(a)</FONT></TD>
    <TD><FONT STYLE="font-size: 11pt">The following individuals are members of the registrant&rsquo;s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-left: 30pt"><FONT STYLE="font-size: 11pt">Michael Castellano</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-left: 30pt"><FONT STYLE="font-size: 11pt">Frank J. Fabozzi </FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-left: 30pt"><FONT STYLE="font-size: 11pt">James T. Flynn </FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-left: 30pt"><FONT STYLE="font-size: 11pt">W. Carl Kester </FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-left: 30pt"><FONT STYLE="font-size: 11pt">Karen P. Robards </FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(b)</FONT></TD>
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Not Applicable</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Item 6 &ndash; </FONT></TD>
    <TD COLSPAN="2" STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Investments </FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(a) The registrant&rsquo;s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.</FONT></TD></TR>
</TABLE>

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 11pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 10%; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Item 7 &ndash; </FONT></TD>
    <TD STYLE="width: 90%; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Disclosure of Proxy Voting Policies and Procedures
    for Closed-End Management Investment Companies &ndash; The board of directors has delegated the voting of proxies for the
    Fund&rsquo;s portfolio securities to the Investment Adviser pursuant to the Investment Adviser&rsquo;s proxy voting guidelines.
    Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund
    and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund&rsquo;s stockholders,
    on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the
    other. In such event, provided that the Investment Adviser&rsquo;s Equity Investment Policy Oversight Committee, or a sub-committee
    thereof (the &ldquo;Oversight Committee&rdquo;) is aware of the real or potential conflict or material non-routine matter
    and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular
    proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary
    to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser&rsquo;s clients. If
    the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such
    independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment
    Adviser&rsquo;s Portfolio Management Group and/or the Investment Adviser&rsquo;s Legal and Compliance Department and concluding
    that the vote cast is in its client&rsquo;s best interest notwithstanding the conflict. A copy of the Fund&rsquo;s Proxy Voting
    Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio
    securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and
    (ii) on the SEC&rsquo;s website at <U>http://www.sec.gov</U>.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Item 8 &ndash;&nbsp;&nbsp;</FONT></TD>
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Portfolio Managers of Closed-End Management Investment Companies &ndash; as of August 31, 2014.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(a)(1) The registrant is managed by a team of investment professionals comprised of Akiva Dickstein, Managing Director at BlackRock, and Tom Musmanno, Managing Director at BlackRock.&nbsp;&nbsp;Messrs. Dickstein and Musmanno are the Fund&rsquo;s co-portfolio managers and are responsible for the day-to-day management of the Fund&rsquo;s portfolio , which includes setting the Fund&rsquo;s overall investment strategy, overseeing the management of the Fund and/or selection of its investments.&nbsp;&nbsp;Messrs. Dickstein and Musmanno have been members of the Fund&rsquo;s portfolio management team since 2009 and 2012, respectively.</FONT></TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 11pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 10%">&nbsp;</TD>
    <TD STYLE="width: 22%; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: -0.9pt; padding-left: 0.05in; font-size: 10pt"><B>Portfolio Manager</B></TD>
    <TD STYLE="width: 68%; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 3.7pt; padding-left: 0.05in; font-size: 10pt"><B>Biography</B></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; padding-right: -0.9pt; padding-left: 0.05in; font-size: 10pt">Akiva Dickstein</TD>
    <TD STYLE="border-bottom: Black 1pt solid; padding-right: 3.7pt; padding-left: 0.05in; font-size: 10pt">Managing Director of BlackRock since 2009; Managing Director of Merrill Lynch Investment Managers, L.P. from 2003 to 2009 and Head of the U.S. Rates &amp; Structured Credit Research Group.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; padding-right: -0.9pt; padding-left: 0.05in; font-size: 10pt">Tom Musmanno</TD>
    <TD STYLE="border-bottom: Black 1pt solid; padding-right: 3.7pt; padding-left: 0.05in; font-size: 10pt">Managing Director of BlackRock since 2010; Director of BlackRock from 2006 to 2009.</TD></TR>
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    <TD STYLE="width: 10%; padding-bottom: 11pt">&nbsp;</TD>
    <TD STYLE="width: 90%; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(a)(2) As of August 31, 2014: </FONT></TD></TR>
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<TR>
    <TD STYLE="vertical-align: top; border: Black 1pt solid; padding-top: 3pt; padding-bottom: 3pt">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; border-top: Black 1pt solid; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 5.4pt">
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>(ii) Number of Other Accounts Managed</B></P>
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: center"><B>and Assets by Account Type</B></P></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; border-top: Black 1pt solid; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 5.4pt">
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>(iii) Number&nbsp;of&nbsp;Other&nbsp;Accounts&nbsp;and</B></P>
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>Assets&nbsp;for Which Advisory Fee is</B></P>
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: center"><B>Performance-Based</B></P></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 23%; border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding: 3pt 5.4pt">
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>(i) Name of</B></P>
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: center"><B>Portfolio Manager</B></P></TD>
    <TD STYLE="width: 13%; border-bottom: Black 1pt solid; padding: 3pt 5.4pt; border-right: Black 1pt solid">
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0 0.3pt 0 0; text-align: center"><B>Other</B></P>
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0 0.3pt 0 0; text-align: center"><B>Registered</B></P>
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0 0.3pt 0 0; text-align: center"><B>Investment</B></P>
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0 0.3pt 11pt 0; text-align: center"><B>Companies</B></P></TD>
    <TD STYLE="width: 12%; border-bottom: Black 1pt solid; padding: 3pt 5.4pt; border-right: Black 1pt solid">
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>Other Pooled</B></P>
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>Investment</B></P>
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: center"><B>Vehicles</B></P></TD>
    <TD STYLE="width: 13%; border-bottom: Black 1pt solid; padding: 3pt 5.4pt; border-right: Black 1pt solid">
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>Other</B></P>
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: center"><B>Accounts</B></P></TD>
    <TD STYLE="width: 13%; border-bottom: Black 1pt solid; padding: 3pt 5.4pt; border-right: Black 1pt solid">
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>Other</B></P>
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>Registered</B></P>
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>Investment</B></P>
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: center"><B>Companies</B></P></TD>
    <TD STYLE="width: 13%; border-bottom: Black 1pt solid; padding: 3pt 5.4pt; border-right: Black 1pt solid">
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>Other Pooled</B></P>
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>Investment</B></P>
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: center"><B>Vehicles</B></P></TD>
    <TD STYLE="width: 13%; border-bottom: Black 1pt solid; padding: 3pt 5.4pt; border-right: Black 1pt solid">
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0; text-align: center"><B>Other</B></P>
        <P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: center"><B>Accounts</B></P></TD></TR>
<TR STYLE="background-color: #CCFFFF">
    <TD STYLE="vertical-align: top; border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding: 3pt 0 3pt 6; font-size: 8pt"><FONT STYLE="font-size: 8pt">Akiva Dickstein</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">8</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">26</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">105</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">0</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">1</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">3</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top; border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding: 3pt 0; font-size: 8pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$4.49 Billion</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$8.69 Billion</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$46.34 Billion</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$0</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$278.9 Million</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$1.16 Billion</FONT></TD></TR>
<TR STYLE="background-color: #CCFFFF">
    <TD STYLE="vertical-align: top; border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding: 3pt 0 3pt 6; font-size: 8pt"><FONT STYLE="font-size: 8pt">Tom Musmanno</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">12</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">14</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">169</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">0</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">2</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">0</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top; border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding: 3pt 0; font-size: 8pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$7.99 Billion</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$4.68 Billion</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$48.63 Billion</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$0</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$1.97 Billion</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 3pt 0; text-align: center; font-size: 8pt"><FONT STYLE="font-size: 8pt">$0 </FONT></TD></TR>
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    <TD STYLE="width: 10%; padding-top: 11pt; padding-bottom: 11pt">&nbsp;</TD>
    <TD STYLE="width: 90%; padding-top: 11pt; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(iv)&nbsp;&nbsp;&nbsp;<I>Portfolio Manager Potential Material Conflicts of Interest</I> </FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund.&nbsp; In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund.&nbsp; BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities.&nbsp; Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.&rsquo;s (or its affiliates&rsquo; or significant shareholders&rsquo;) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information.&nbsp; Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund.&nbsp;&nbsp;&nbsp;It should also be noted that Mr. Dickstein may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees.&nbsp;&nbsp;Mr. Dickstein may therefore be entitled to receive a portion of any incentive fees earned on such accounts.&nbsp;&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-family: PHHIM E+ Times">&nbsp;</TD>
    <TD STYLE="font-family: PHHIM E+ Times"><FONT STYLE="font: 11pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly.&nbsp; When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties.&nbsp; BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment.&nbsp; To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(a)(3) As of August 31, 2014:</FONT></TD></TR>
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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 42pt"><B>&nbsp;</B></P>

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    <TD STYLE="width: 10%">&nbsp;</TD>
    <TD STYLE="width: 90%"><FONT STYLE="font-size: 11pt"><B>Portfolio Manager Compensation Overview</B></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The discussion below describes the portfolio managers&rsquo; compensation as of August 31, 2014.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: justify">&nbsp;</TD>
    <TD STYLE="text-align: justify">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlackRock&rsquo;s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: justify">&nbsp;</TD>
    <TD STYLE="text-align: justify">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: justify">&nbsp;</TD>
    <TD STYLE="text-align: justify"><FONT STYLE="font-size: 11pt">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<B>Base compensation.</B>&nbsp;&nbsp;Generally, portfolio managers receive base compensation based on their position with the firm. </FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: justify">&nbsp;</TD>
    <TD STYLE="text-align: justify">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<B>Discretionary Incentive Compensation </B></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Discretionary incentive compensation is a function of several components: the performance of BlackRock,&nbsp;Inc., the performance of the portfolio manager&rsquo;s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm&rsquo;s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual&rsquo;s performance and contribution to the overall performance of these portfolios and BlackRock.&nbsp;&nbsp;&nbsp;In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Funds or other accounts managed by the portfolio managers are measured.&nbsp; Among other things, BlackRock&rsquo;s Chief Investment Officers make a subjective determination with respect to each portfolio manager&rsquo;s compensation based on the performance of the Funds and other accounts managed by each portfolio manager relative to the various benchmarks.&nbsp; Performance of fixed income funds is measured on a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable.&nbsp;&nbsp;With respect to these portfolio managers, such benchmarks for the Fund and other accounts are: </FONT></TD></TR>
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    <TD STYLE="width: 10%">&nbsp;</TD>
    <TD STYLE="width: 22%; border: Black 1pt solid; padding-right: -0.25in; padding-left: 6"><FONT STYLE="font-size: 11pt">Portfolio Manager</FONT></TD>
    <TD STYLE="width: 68%; border-top: Black 1pt solid; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: -0.25in; padding-left: 6"><FONT STYLE="font-size: 11pt">Benchmark</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: -0.25in; font-size: 10pt; padding-left: 6">Akiva Dickstein</TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 6">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">A combination of market-based indices (e.g. Citigroup Mortgage Index,
        Barclays GNMA MBS Index), certain customized indices and certain fund industry peer groups.</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: -0.25in; font-size: 10pt; padding-left: 6">Tom Musmanno</TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 6">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">A combination of market-based indices (e.g., Bank of America Merrill
        Lynch U.S. Corporate &amp; Government Index, 1-3 Years), certain customized indices and certain fund industry peer groups.</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P></TD></TR>
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    <TD STYLE="width: 90%"><FONT STYLE="font-size: 11pt">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<B>Distribution of Discretionary Incentive Compensation. </B>Discretionary incentive compensation is distributed to portfolio managers in a combination of cash and BlackRock, Inc. restricted stock units which vest ratably over a number of years.&nbsp;&nbsp;For some portfolio managers, discretionary incentive compensation is also distributed in deferred cash awards that notionally track the returns of select BlackRock investment products they manage and that vest ratably over a number of years. The BlackRock, Inc. restricted stock units, upon vesting, will be settled in BlackRock, Inc. common stock.&nbsp;&nbsp;Typically, the cash portion of the discretionary incentive </FONT></TD></TR>
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<TR STYLE="vertical-align: top">
    <TD STYLE="width: 10%">&nbsp;</TD>
    <TD STYLE="width: 90%"><FONT STYLE="font-size: 11pt">compensation, when combined with base salary, represents more than 60% of total compensation for the portfolio managers.&nbsp;&nbsp;Paying a portion of discretionary incentive compensation in BlackRock, Inc. stock puts compensation earned by a portfolio manager for a given year &ldquo;at risk&rdquo; based on BlackRock&rsquo;s ability to sustain and improve its performance over future periods.&nbsp;&nbsp;Providing a portion of discretionary incentive compensation in deferred cash awards that notionally track the BlackRock investment products they manage provides direct alignment with investment product results.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<I>Long-Term Incentive Plan Awards &mdash; </I>From time to time long-term incentive equity awards are granted to certain key employees to aid in retention, align their interests with long-term shareholder interests and motivate performance. &nbsp;Equity awards are generally granted in the form of BlackRock, Inc. restricted stock units that, once vested, settle in BlackRock, Inc. common stock. Messrs. Dickstein and Musmanno have unvested long-term incentive awards.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<I>Deferred Compensation Program &mdash; </I>A portion of the compensation paid to eligible United States-based BlackRock employees may be voluntarily deferred at their election for defined periods of time into an account that tracks the performance of certain of the firm&rsquo;s investment products.&nbsp;&nbsp;Any portfolio manager who is either a managing director or director at BlackRock with compensation above a specified threshold is eligible to participate in the deferred compensation program.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<B>Other Compensation Benefits.&nbsp;&nbsp;</B>In addition to base salary and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-top: 11pt; padding-bottom: 11pt">&nbsp;</TD>
    <TD STYLE="padding-top: 0; padding-bottom: 11pt"><P STYLE="margin-left: 16pt; text-indent: -16pt"><FONT STYLE="font-size: 11pt"><I>Incentive Savings Plans &mdash;</I> BlackRock,&nbsp;Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k)&nbsp;plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($260,000 for 2014).&nbsp; The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year in which the participant attains age 65.&nbsp; The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date.&nbsp; Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date.&nbsp; All of the eligible portfolio managers are eligible to participate in these plans.</FONT></P></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(a)(4) <I>Beneficial Ownership of Securities</I> &ndash; As of August 31, 2014.</FONT></TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 70.5pt; text-indent: -30pt">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 11pt Times New Roman, Times, Serif; width: 70%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 43%; border: Black 1pt solid; padding-right: 2.55pt; font-size: 10pt; padding-left: 6"><B>Portfolio Manager</B></TD>
    <TD STYLE="width: 57%; border-top: Black 1pt solid; border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 2.55pt; font-size: 10pt; padding-left: 6"><B>Dollar Range of Equity Securities <BR>
of the Fund Beneficially Owned</B></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: -0.9pt; font-size: 10pt; padding-left: 6">Akiva Dickstein</TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 2.55pt; font-size: 10pt; padding-left: 6">None</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: 2.55pt; font-size: 10pt; padding-left: 6">Tom Musmanno</TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 2.55pt; font-size: 10pt; padding-left: 6">None</TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 42pt; text-indent: -42pt">&nbsp;</P>


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<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 11pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 10%; padding-bottom: 11pt">&nbsp;</TD>
    <TD STYLE="width: 90%; padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(b) Not Applicable</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Item 9 &ndash; </FONT></TD>
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers &ndash; Not Applicable due to no such purchases during the period covered by this report.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Item 10 &ndash; </FONT></TD>
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Submission of Matters to a Vote of Security Holders &ndash; There have been no material changes to these procedures. </FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Item 11 &ndash; </FONT></TD>
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Controls and Procedures</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(a) &ndash; The registrant&rsquo;s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant&rsquo;s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the &ldquo;1940 Act&rdquo;)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(b) &ndash; There were no changes in the registrant&rsquo;s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant&rsquo;s internal control over financial reporting.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Item 12 &ndash; </FONT></TD>
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">Exhibits attached hereto</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(a)(1) &ndash; Code of Ethics &ndash; See Item 2</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(a)(2) &ndash; Certifications &ndash; Attached hereto</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(a)(3) &ndash; Not Applicable</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-bottom: 11pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 11pt"><FONT STYLE="font-size: 11pt">(b) &ndash; Certifications &ndash; Attached hereto</FONT></TD></TR>
</TABLE>
<P STYLE="font: 3pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>


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    <TD STYLE="font-size: 10pt">&nbsp;</TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 11pt">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></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 10%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 85%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 11pt">BlackRock Income Trust, Inc.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">By:</FONT></TD>
    <TD STYLE="text-decoration: underline"><FONT STYLE="font-size: 11pt"><U>/s/ John M. Perlowski</U></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">John M. Perlowski</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">Chief Executive Officer (principal executive officer) of</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">BlackRock Income Trust, Inc.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 11pt">Date: November 3, 2014</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 11pt">Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">By:</FONT></TD>
    <TD STYLE="text-decoration: underline"><FONT STYLE="font-size: 11pt"><U>/s/ John M. Perlowski</U></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">John M. Perlowski</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">Chief Executive Officer (principal executive officer) of</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">BlackRock Income Trust, Inc.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 11pt">Date: November 3, 2014</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">By:</FONT></TD>
    <TD><FONT STYLE="font-size: 11pt"><U>/s/ Neal J. Andrews</U></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">Neal J. Andrews</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">Chief Financial Officer (principal financial officer) of</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD><FONT STYLE="font-size: 11pt">BlackRock Income Trust, Inc.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 11pt">Date: November 3, 2014</FONT></TD></TR>
</TABLE>
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<TYPE>EX-99.CERT
<SEQUENCE>2
<FILENAME>e61142ex99cert.htm
<DESCRIPTION>CERTIFICATION
<TEXT>
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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0; text-indent: 0in"><FONT STYLE="vertical-align: baseline"><B>EX-99.
CERT</B></FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0; text-indent: 0in; border-bottom: Black 0.75pt solid"><B>CERTIFICATION
PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt">I, John M. Perlowski, Chief Executive
Officer (principal executive officer) of BlackRock Income Trust, Inc., certify that:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0in">1.<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>I have reviewed this report on Form N-CSR of BlackRock Income Trust, Inc.;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0in">2.<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>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;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0in">3.<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>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;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0in">4.<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>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:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">a)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>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;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">b)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>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;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">c)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>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</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">d)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the
second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially
affect, the registrant's internal control over financial reporting; and</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0in">5.<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>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):</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">a)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>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</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">b)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>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.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt">Date: November 3, 2014</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: -0.25pt"><U>/s/ John M. Perlowski</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: -0.25pt">John M. Perlowski</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: -0.25pt">Chief Executive Officer (principal executive
officer) of<BR>
BlackRock Income Trust, Inc.</P>


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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0; text-indent: 0in"><FONT STYLE="vertical-align: baseline"><B>EX-99.
CERT</B></FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0; text-indent: 0in; border-bottom: Black 0.75pt solid"><B>CERTIFICATION
PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt">I, Neal J. Andrews, Chief Financial
Officer (principal financial officer) of BlackRock Income Trust, Inc., certify that:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0in">1.<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>I have reviewed this report on Form N-CSR of BlackRock Income Trust, Inc.;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0in">2.<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>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;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0in">3.<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>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;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0in">4.<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>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:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">a)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>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;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">b)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>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;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">c)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>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</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">d)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the
second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially
affect, the registrant's internal control over financial reporting; and</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0in">5.<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>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):</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">a)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>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</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5in; text-indent: 0in">b)<FONT STYLE="font: 7pt Times New Roman, Times, Serif">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
</FONT>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.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt">Date: November 3, 2014</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: -0.25pt"><U>/s/ Neal J. Andrews</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0; text-indent: -0.25pt">Neal J. Andrews</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 18pt; text-indent: -0.25pt">Chief Financial Officer (principal financial
officer) of<BR>
BlackRock Income Trust, Inc.</P>


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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt">&nbsp;</P>



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<DOCUMENT>
<TYPE>EX-99.906CERT
<SEQUENCE>3
<FILENAME>e61142ex99-906cert.htm
<DESCRIPTION>CERTIFICATION
<TEXT>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt">Exhibit 99.906CERT</P>

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: center"><B>Certification Pursuant to Rule 30a-2(b)
under the 1940 Act and<BR>
Section 906 of the Sarbanes-Oxley Act of 2002</B></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: center"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify">Pursuant to 18 U.S.C. &sect; 1350, the
undersigned officer of BlackRock Income Trust, Inc. (the &ldquo;Registrant&rdquo;), hereby certifies, to the best of his knowledge,
that the Registrant&rsquo;s Report on Form N-CSR for the period ended August 31, 2014 (the &ldquo;Report&rdquo;) fully complies
with the requirements of Section 13(a) of the Securities Exchange Act of 1934, as amended, and that the information contained in
the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt">Date: November 3, 2014</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"><U>/s/ John M. Perlowski</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">John M. Perlowski</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">Chief Executive Officer (principal executive officer) of</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">BlackRock Income Trust, Inc.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify">Pursuant to 18 U.S.C. &sect; 1350, the
undersigned officer of BlackRock Income Trust, Inc. (the &ldquo;Registrant&rdquo;), hereby certifies, to the best of his knowledge,
that the Registrant&rsquo;s Report on Form N-CSR for the period ended August 31, 2014 (the &ldquo;Report&rdquo;) fully complies
with the requirements of Section 13(a) of the Securities Exchange Act of 1934, as amended, and that the information contained in
the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt">Date: November 3, 2014</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"><U>/s/ Neal J. Andrews</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">Neal J. Andrews</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">Chief Financial Officer (principal financial officer) of</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">BlackRock Income Trust, Inc.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0">This certification is being furnished pursuant to Rule 30a-2(b)
under the Investment Company Act of 1940, as amended, and 18 U.S.C. Section 1350 and is not being filed as part of the Form N-CSR
with the Securities and Exchange Commission<B>.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in">&nbsp;</P>



<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0"></P>

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<TYPE>EX-99.9PROXYPOL
<SEQUENCE>4
<FILENAME>e61142ex99_9proxypol.htm
<DESCRIPTION>PROXY VOTING POLICY
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"><FONT STYLE="font: 10pt Arial, Helvetica, Sans-Serif">EX-99.9 PROXY
POL</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 30pt">
<tr style="vertical-align: top">
    <TD STYLE="width: 50%; padding: 0; font: 11pt Arial, Helvetica, Sans-Serif; text-align: left; vertical-align: top">&nbsp;</td>
    <TD STYLE="width: 50%; padding-right: 0; padding-left: 0">
        <P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt; text-align: right">Proxy Voting Policy<br>
        <font style="font-size: 10pt">July 1, 2011</font><br>
        <font style="font-size: 10pt">revised May 9, 2012</font></P>
        <P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt; text-align: right">&nbsp;</P>
        <P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt; text-align: right">&nbsp;</P></td></tr>
<tr style="vertical-align: bottom">
    <TD STYLE="font: 11pt Arial, Helvetica, Sans-Serif; padding-right: 0; padding-left: 0"><br>
<br>
<img src="image_003.gif" alt="" style="height: 33px; width: 199px"><br>
<font style="font-size: 14pt">U.S. Registered Funds</font></td>
    <TD STYLE="font: 10pt Arial, Helvetica, Sans-Serif; padding-right: 0; padding-left: 0; text-align: right">&nbsp;</td></tr>
</table>


<P STYLE="margin: 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="RIGHT" STYLE="width: 50%; border-collapse: collapse">
<tr style="vertical-align: top">
    <td colspan="2" style="font: 11pt Arial, Helvetica, Sans-Serif; padding-right: 5.4pt; padding-bottom: 6pt; padding-left: 5.4pt">&nbsp;</td></tr>
<tr style="vertical-align: top">
    <td colspan="2" style="padding-right: 5.4pt; padding-left: 5.4pt"><P STYLE="color: white; font: 14pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt"><FONT STYLE="color: Black">Proxy Voting
        Policy</FONT></P>
        <P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt; color: white"><FONT STYLE="color: Black"><I>Procedures
        Governing Delegation of Proxy Voting to Fund Adviser</I></FONT></P>
        <P STYLE="color: white; font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt"><FONT STYLE="color: Black">July 1, 2011<br>
        revised May 9, 2012</FONT></P>
        <P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt; color: white"><FONT STYLE="color: Black">&nbsp;</FONT></P></td></tr>
</table><BR STYLE="clear: both">
<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt">&nbsp;</P>


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<font style="font-size: 10.5pt">U.S. Registered Funds</font></td>
    <TD STYLE="width: 50%; padding-right: 5.4pt; font: 10.5pt Arial, Helvetica, Sans-Serif; text-align: left"><br>
<br>
<br>
</td></tr>
</table>
<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt; text-align: right">&nbsp;</P>

<P STYLE="color: #7C1E3F; font: bold 14pt Arial, Helvetica, Sans-Serif; margin: 12pt 0 3pt">I.&#9;INTRODUCTION</P>

<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt">The Trustees/Directors (&ldquo;Directors&rdquo;) of the BlackRock-Advised
Funds other than the iShares Funds<SUP>1</SUP> (the &ldquo;Funds&rdquo;) have the responsibility for voting proxies relating to
portfolio securities of the Funds, and have determined that it is in the best interests of the Funds and their shareholders to
delegate that responsibility to BlackRock Advisors, LLC and its affiliated U.S. registered investment advisers (&ldquo;BlackRock&rdquo;),
the investment adviser to the Funds, as part of BlackRock&rsquo;s authority to manage, acquire and dispose of account assets.
The Directors hereby direct BlackRock to vote such proxies in accordance with this Policy, and any proxy voting guidelines that
the Adviser determines are appropriate and in the best interests of the Funds&rsquo; shareholders and which are consistent with
the principles outlined in this Policy. Individual series of the Funds may be specifically excluded from this Policy by the Directors
by virtue of the adoption of alternative proxy voting policy for such series. The Directors have authorized BlackRock to utilize
unaffiliated third-parties as its agents to vote portfolio proxies in accordance with this Policy and to maintain records of such
portfolio proxy voting.</P>

<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt">Rule 206(4)-6 under the Investment Advisers Act of 1940 requires,
among other things, that an investment adviser that exercises voting authority over clients&rsquo; proxy voting adopt policies
and procedures reasonably designed to ensure that the adviser votes proxies in the best interests of clients, discloses to its
clients information about those policies and procedures and also discloses to clients how they may obtain information on how the
adviser has voted their proxies.</P>

<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt">BlackRock has adopted guidelines and procedures that are consistent
with the principles of this Policy. BlackRock&rsquo;s corporate governance committee structure (the &ldquo;Committee&rdquo;), oversees
the proxy voting function on behalf of BlackRock and its clients, including the Funds. The Committee is comprised of senior members
of BlackRock&rsquo;s Portfolio Management and Administration Groups and is advised by BlackRock&rsquo;s Legal and Compliance Department.</P>

<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt">BlackRock votes (or refrains from voting) proxies for each
Fund in a manner that BlackRock, in the exercise of its independent business judgment, concludes is in the best economic interests
of such Fund. In some cases, BlackRock may determine that it is in the best economic interests of a Fund to refrain from exercising
the Fund&rsquo;s proxy voting rights (such as, for example, proxies on certain non-U.S. securities that might impose costly or
time-consuming in-person voting requirements). With regard to the relationship between securities lending and proxy voting, BlackRock&rsquo;s
approach is also driven by our clients&rsquo; economic interests. The evaluation of the economic desirability of recalling loans
involves balancing the revenue producing value of loans against the likely economic value of casting votes. Based on our evaluation
of this relationship, BlackRock believes that the likely economic value of casting a vote generally is less than the securities
lending income, either because the votes will not have significant economic consequences or because the outcome of the vote would
not be affected by BlackRock recalling loaned securities in order to ensure they are voted. Periodically, BlackRock analyzes the
process and benefits of voting proxies for securities on loan, and will consider whether any modification of its proxy voting policies
or procedures are necessary in light of any regulatory changes.</P>

<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0">BlackRock will normally vote on specific proxy issues in accordance
with BlackRock&rsquo;s proxy voting guidelines. BlackRock&rsquo;s proxy voting guidelines provide detailed guidance as to how to
vote proxies on certain important or commonly raised issues. BlackRock may, in the exercise of its business judgment, conclude
that the proxy voting guidelines do not cover the specific matter</P>
<HR ALIGN="LEFT" SIZE="1" STYLE="width: 33%; color: Black">

<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt; text-align: left"><FONT STYLE="font: 11pt Arial, Helvetica, Sans-Serif"><SUP>1</SUP></FONT>
The US iShares Funds have adopted a separate Proxy Voting Policy.</P>

<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt; text-align: left">&nbsp;</P>

<table cellspacing="0" cellpadding="0" style="width: 100%; font: 11pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<tr style="vertical-align: top">
    <td style="width: 75%; border-top: Black 1pt solid; padding-top: 3pt"><font style="font-size: 10pt"><b>Proxy Voting Policy</b></font><br>
<font style="font-size: 10pt">July 1, 2011</font><br>
<font style="font-size: 10pt">revised May 9, 2012</font></td>
    <td style="width: 25%; border-top: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt">
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 3pt 0 0; text-align: right">&nbsp;</P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 3pt 0 0; text-align: right">Page <font style="font-family: Arial, Helvetica, Sans-Serif">1
        of 3</font></P></td></tr>
</table>

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    <DIV STYLE="page-break-before: always; margin-top: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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    <table cellspacing="0" cellpadding="0" style="width: 100%; border-collapse: collapse">
<tr style="vertical-align: bottom">
    <TD STYLE="width: 50%; padding-right: 5.4pt; padding-left: 0; font: 10.5pt Arial, Helvetica, Sans-Serif"><img src="image_001.gif" alt="" style="height: 24px; width: 150px"><br>
<font style="font-size: 10.5pt">U.S. Registered Funds</font></td>
    <TD STYLE="width: 50%; padding-right: 5.4pt; font: 10.5pt Arial, Helvetica, Sans-Serif; text-align: left"><br>
<br>
<br>
</td></tr>
</table>
<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt; text-align: right">&nbsp;</P>

    <P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0">upon which a proxy vote is requested, or that an exception to
the proxy voting guidelines would be in the best economic interests of a Fund. BlackRock votes (or refrains from voting) proxies
without regard to the relationship of the issuer of the proxy (or any shareholder of such issuer) to the Fund, the Fund&rsquo;s
affiliates (if any), BlackRock or BlackRock&rsquo;s affiliates. When voting proxies, BlackRock attempts to encourage companies
to follow practices that enhance shareholder value and increase transparency and allow the market to place a proper value on their
assets.</P>

<P STYLE="color: #7C1E3F; font: bold 14pt Arial, Helvetica, Sans-Serif; margin: 12pt 0 3pt">II.&#9;PROXY VOTING POLICIES</P>

<P STYLE="font: bold 13pt Arial, Helvetica, Sans-Serif; margin: 12pt 0 3pt">A.&#9;Boards of Directors</P>

<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt">The Funds generally support the board&rsquo;s nominees in the
election of directors and generally support proposals that strengthen the independence of boards of directors. As a general matter,
the Funds believe that a company&rsquo;s board of directors (rather than shareholders) is most likely to have access to important,
nonpublic information regarding a company&rsquo;s business and prospects, and is therefore best-positioned to set corporate policy
and oversee management. The Funds therefore believe that the foundation of good corporate governance is the election of responsible,
qualified, independent corporate directors who are likely to diligently represent the interests of shareholders and oversee management
of the corporation in a manner that will seek to maximize shareholder value over time. In individual cases, consideration may be
given to a director nominee&rsquo;s history of representing shareholder interests as a director of the company issuing the proxy
or other companies, or other factors to the extent deemed relevant by the Committee.</P>

<P STYLE="font: bold 13pt Arial, Helvetica, Sans-Serif; margin: 12pt 0 3pt">B.&#9;Auditors</P>

<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt">These proposals concern those issues submitted to shareholders
related to the selection of auditors. As a general matter, the Funds believe that corporate auditors have a responsibility to represent
the interests of shareholders and provide an independent view on the propriety of financial reporting decisions of corporate management.
While the Funds anticipate that BlackRock will generally defer to a corporation&rsquo;s choice of auditor, in individual cases,
consideration may be given to an auditors&rsquo; history of representing shareholder interests as auditor of the company issuing
the proxy or other companies, to the extent deemed relevant.</P>

<P STYLE="font: bold 13pt Arial, Helvetica, Sans-Serif; margin: 12pt 0 3pt">C.&#9;Compensation and Benefits</P>

<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt">These proposals concern those issues submitted to shareholders
related to management compensation and employee benefits. As a general matter, the Funds favor disclosure of a company&rsquo;s
compensation and benefit policies and oppose excessive compensation, but believe that compensation matters are normally best determined
by a corporation&rsquo;s board of directors, rather than shareholders. Proposals to &ldquo;micro-manage&rdquo; a company&rsquo;s
compensation practices or to set arbitrary restrictions on compensation or benefits should therefore generally not be supported.</P>

<P STYLE="font: bold 13pt Arial, Helvetica, Sans-Serif; margin: 12pt 0 3pt">D.&#9;Capital Structure</P>

<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt">These proposals relate to various requests, principally from
management, for approval of amendments that would alter the capital structure of a company, such as an increase in authorized shares.
As a general matter, the Funds expect that BlackRock will support requests</P>

<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt">&nbsp;</P>

<table cellspacing="0" cellpadding="0" style="width: 100%; font: 11pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<tr style="vertical-align: top">
    <td style="width: 75%; border-top: Black 1pt solid; padding-top: 3pt"><font style="font-size: 10pt"><b>Proxy Voting Policy</b></font><br>
<font style="font-size: 10pt">July 1, 2011</font><br>
<font style="font-size: 10pt">revised May 9, 2012</font></td>
    <td style="width: 25%; border-top: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt">
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 3pt 0 0; text-align: right">&nbsp;</P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 3pt 0 0; text-align: right">Page 2<font style="font-family: Arial, Helvetica, Sans-Serif">
        of 3</font></P></td></tr>
</table>

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    <DIV STYLE="margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<table cellspacing="0" cellpadding="0" style="width: 100%; border-collapse: collapse">
<tr style="vertical-align: bottom">
    <TD STYLE="width: 50%; padding-right: 5.4pt; padding-left: 0; font: 10.5pt Arial, Helvetica, Sans-Serif"><img src="image_001.gif" alt="" style="height: 24px; width: 150px"><br>
<font style="font-size: 10.5pt">U.S. Registered Funds</font></td>
    <TD STYLE="width: 50%; padding-right: 5.4pt; font: 10.5pt Arial, Helvetica, Sans-Serif; text-align: left"><br>
<br>
<br>
</td></tr>
</table>
<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt; text-align: right">&nbsp;</P>

<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt"> that it believes enhance the rights of common shareholders
and oppose requests that appear to be unreasonably dilutive.</P>

<P STYLE="font: bold 13pt Arial, Helvetica, Sans-Serif; margin: 12pt 0 3pt">E.&#9;Corporate Charter and By-Laws</P>

<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt">These proposals relate to various requests for approval of
amendments to a corporation&rsquo;s charter or by-laws. As a general matter, the Funds generally vote against anti-takeover proposals
and proposals that would create additional barriers or costs to corporate transactions that are likely to deliver a premium to
shareholders.</P>

<P STYLE="font: bold 13pt Arial, Helvetica, Sans-Serif; margin: 12pt 0 3pt">F.&#9;Environmental and Social Issues</P>

<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt">These are shareholder proposals addressing either corporate
social and environmental policies or requesting specific reporting on these issues. The Funds generally do not support proposals
on social issues that lack a demonstrable economic benefit to the issuer and the Fund investing in such issuer. BlackRock seeks
to make proxy voting decisions in the manner most likely to protect and promote the long-term economic value of the securities
held in client accounts. We intend to support economically advantageous corporate practices while leaving direct oversight of company
management and strategy to boards of directors. We seek to avoid micromanagement of companies, as we believe that a company&rsquo;s
board of directors is best positioned to represent shareholders and oversee management on shareholders behalf. Issues of corporate
social and environmental responsibility are evaluated on a case-by-case basis within this framework.</P>

<P STYLE="color: #7C1E3F; font: bold 14pt Arial, Helvetica, Sans-Serif; margin: 12pt 0 3pt">III.&#9;CONFLICTS MANAGEMENT</P>

<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt">BlackRock maintains policies and procedures that are designed
to prevent any relationship between the issuer of the proxy (or any shareholder of the issuer) and a Fund, a Fund&rsquo;s affiliates
(if any), BlackRock or BlackRock&rsquo;s affiliates, from having undue influence on BlackRock&rsquo;s proxy voting activity. In
certain instances, BlackRock may determine to engage an independent fiduciary to vote proxies as a further safeguard against potential
conflicts of interest or as otherwise required by applicable law. The independent fiduciary may either vote such proxies or provide
BlackRock with instructions as to how to vote such proxies. In the latter case, BlackRock votes the proxy in accordance with the
independent fiduciary&rsquo;s determination.</P>

<P STYLE="color: #7C1E3F; font: bold 14pt Arial, Helvetica, Sans-Serif; margin: 12pt 0 3pt">IV.&#9;REPORTS TO THE BOARD</P>

<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt">BlackRock will report to the Directors on proxy votes it has
made on behalf of the Funds at least annually.</P>

<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt">&nbsp;</P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt"><A NAME="EndCopyright"></A>&copy;2012 BlackRock</P>

<P STYLE="font: 11pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt">&nbsp;</P>
<table cellspacing="0" cellpadding="0" style="width: 100%; font: 11pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<tr style="vertical-align: top">
    <td style="width: 75%; border-top: Black 1pt solid; padding-top: 3pt"><font style="font-size: 10pt"><b>Proxy Voting Policy</b></font><br>
<font style="font-size: 10pt">July 1, 2011</font><br>
<font style="font-size: 10pt">revised May 9, 2012</font></td>
    <td style="width: 25%; border-top: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt">
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 3pt 0 0; text-align: right">&nbsp;</P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 3pt 0 0; text-align: right">Page 3 <font style="font-family: Arial, Helvetica, Sans-Serif">
        of 3</font></P></td></tr>
</table>

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</DOCUMENT>
</SEC-DOCUMENT>
